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Capital Markets: Market Microstructure eJournal
1,780,061 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Showing Papers 1 - 50 of 5,578
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1 2 3 4 ... 112 | Next >
   

Incl. Electronic Paper Time Series Experiments and Causal Estimands: Exact Randomization Tests and Trading
Iavor Bojinov and Neil Shephard
Harvard University, Department of Statistics, Students and Harvard University
Date Posted: June 26, 2017
Working Paper Series
12 downloads

Incl. Electronic Paper Brokers and Order Flow Leakage: Evidence from Fire Sales
Andrea Barbon, Marco Di Maggio, Francesco A. Franzoni and Augustin Landier
Università della Svizzera italiana (USI), Lugano, Harvard Business School, Università della Svizzera italiana (USI), Lugano and Toulouse School of Economics
Date Posted: June 23, 2017
Working Paper Series
44 downloads

Incl. Electronic Paper Reversal, Momentum and Intraday Returns
Haoyu Xu
Shanghai University of Finance and Economics
Date Posted: June 23, 2017
Working Paper Series
123 downloads

Incl. Electronic Paper Mispricing in the Odd Lots Market in Brazil
Henrique P. Ramos, Marcelo Perlin and Marcelo Brutti Righi
Federal University of Rio Grande do Sul (UFRGS/PPGA), Escola de Administração - UFRGS and Federal University of Rio Grande do Sul
Date Posted: June 22, 2017
Working Paper Series
15 downloads

Incl. Electronic Paper Order Flows, Differential Risk Premiums, and the UIP Puzzle
Rita Biswas, Louis R. Piccotti and Ben Z. Schreiber
University at Albany - SUNY, SUNY at Albany - School of Business and Bank of Israel
Date Posted: June 22, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper Credit Market Freezes
Efraim Benmelech and Nittai Bergman
Northwestern University - Kellogg School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Date Posted: June 22, 2017
Working Paper Series
18 downloads

Incl. Electronic Paper Strategic Trade when Securitized Portfolio Values are Unknown
Louis R. Piccotti
SUNY at Albany - School of Business
Date Posted: June 21, 2017
Last Revised: June 25, 2017
Working Paper Series
9 downloads

Incl. Electronic Paper A Reverse Index Futures Split Effect on Liquidity and Market Dynamics
Athanasios Fassas and Nikolaos L. Hourvouliades
Hellenic Open University and American College of Thessaloniki
Date Posted: June 21, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper High-Frequency Price Discovery of Gold
Joerg Picard
Grand Valley State University
Date Posted: June 21, 2017
Working Paper Series
57 downloads

Incl. Electronic Paper Blockchain in the U.S. Regulatory Setting: Evidentiary Use in Vermont, Delaware, and Elsewhere
Columbia Science & Technology Law Review (May 30, 2017)
Joanna Diane Caytas
Columbia University, Law School
Date Posted: June 20, 2017
Accepted Paper Series
36 downloads

Incl. Electronic Paper Are Volatility Over Volume Liquidity Proxies Useful For Global Or US Research?
Kingsley Y. L. Fong, Craig W. Holden and Ondrej Tobek
University of New South Wales - School of Banking and Finance, Indiana University - Kelley School of Business - Department of Finance and University of Cambridge - Faculty of Economics
Date Posted: June 20, 2017
Working Paper Series
16 downloads

Incl. Electronic Paper Compound Hawkes Processes in Limit Order Books
Anatoliy V. Swishchuk, Jonathan Chavez-Casillas, Robert Elliott and Bruno Remillard
University of Calgary, University of Calgary, University of South Australia - School of Commerce and HEC Montreal
Date Posted: June 19, 2017
Working Paper Series
19 downloads

Incl. Fee Electronic Paper The Relevance of Broker Networks for Information Diffusion in the Stock Market
NBER Working Paper No. w23522
Marco Di Maggio, Francesco A. Franzoni, Amir Kermani and Carlo Sommavilla
Harvard Business School, Università della Svizzera italiana (USI), Lugano, University of California, Berkeley and Università della Svizzera italiana (USI), Lugano; Swiss Finance Institute
Date Posted: June 19, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Political Uncertainty and Corporate Transparency
Andrew Bird, Stephen A. Karolyi and Thomas G. Ruchti
Carnegie Mellon University - Tepper School of Business, Carnegie Mellon University - Tepper School of Business and Carnegie Mellon University - Tepper School of Business
Date Posted: June 16, 2017
Working Paper Series
70 downloads

Incl. Electronic Paper Systematic Risk and Microstructure Invariance
Yashar H. Barardehi, Dan Bernhardt and Thomas G. Ruchti
Ohio University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Economics and Carnegie Mellon University - Tepper School of Business
Date Posted: June 15, 2017
Working Paper Series
13 downloads

Incl. Fee Electronic Paper Option Pricing and Hedging with Execution Costs and Market Impact
Mathematical Finance, Vol. 27, Issue 3, pp. 803-831, 2017
Olivier Edmond Guéant and Jiang Pu
Université Paris VII Denis Diderot and Europlace Institute of Finance
Date Posted: June 15, 2017
Accepted Paper Series

Incl. Electronic Paper The Passive vs. Active Conundrum: A New Perspective on the Arithmetic of Index Investing
Christopher Anderson
Avondale Capital, LP
Date Posted: June 15, 2017
Working Paper Series
58 downloads

Incl. Electronic Paper Margin Requirements and Evolutionary Asset Pricing
Swiss Finance Institute Research Paper No. 17-20
Anastasiia Sokko and Klaus Reiner Schenk-Hoppé
University of Zurich, Department of Banking and Finance and University of Manchester - Department of Economics
Date Posted: June 14, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper Cyclical Patterns in Risk Indicators Based on Financial Market Infrastructure Transaction Data
De Nederlandsche Bank Working Paper No. 558
Monique Timmermans, Ronald Heijmans and Hennie Daniels
De Nederlandsche Bank, De Nederlandsche Bank and Erasmus Research Institute of Management (ERIM)
Date Posted: June 13, 2017
Working Paper Series
16 downloads

Incl. Electronic Paper Risk Indicators for Financial Market Infrastructure: From High Frequency Transaction Data to a Traffic Light Signal
De Nederlandsche Bank Working Paper No. 557
Ron Berndsen and Ronald Heijmans
De Nederlandsche Bank and De Nederlandsche Bank
Date Posted: June 13, 2017
Working Paper Series
23 downloads

Incl. Electronic Paper Multimarket High-Frequency Trading and Commonality in Liquidity
Olga Klein and Shiyun Song
University of Warwick - Warwick Business School and University of Warwick - Warwick Business School
Date Posted: June 13, 2017
Working Paper Series
41 downloads

Incl. Electronic Paper A Dynamic Market Microstructure Model with Market Orders and Random Order Book Depth
Joerg Osterrieder
Zurich University of Applied Sciences
Date Posted: June 13, 2017
Working Paper Series
23 downloads

Incl. Electronic Paper Simulation of a Limit Order Driven Market
Julian Lorenz and Joerg Osterrieder
Independent and Zurich University of Applied Sciences
Date Posted: June 13, 2017
Working Paper Series
46 downloads

Incl. Electronic Paper Hybrid IS-VWAP Dynamic Algorithmic Trading via LQR
Jackie Shen
Goldman Sachs, USA
Date Posted: June 13, 2017
Working Paper Series
46 downloads

Incl. Electronic Paper Interbank Rules, Liquidity, and the Capital-Base: Simulation-Based Experiments of the Artificial Interbank Network
Mitja Steinbacher and Timotej Jagric
Fakulteta za poslovne vede and University of Maribor - Faculty of Economics & Business
Date Posted: June 13, 2017
Working Paper Series
9 downloads

Incl. Fee Electronic Paper Competition between Equity Markets: A Review of the Consolidation Versus Fragmentation Debate
Journal of Economic Surveys, Vol. 31, Issue 3, pp. 792-814, 2017
Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber and Christian Westheide
Goethe University Frankfurt Faculty of Economics and Business Administration, Goethe University Frankfurt - Department of Finance, University of Mannheim - Finance Area, Goethe University Frankfurt Faculty of Economics and Business Administration and University of Mannheim - Finance Area
Date Posted: June 12, 2017
Accepted Paper Series
1 downloads

Incl. Electronic Paper High-Frequency Jump Analysis of the Bitcoin Market
Swiss Finance Institute Research Paper No. 17-19
O. Scaillet, Adrien Treccani and Christopher Trevisan
University of Geneva GSEM and GFRI, University of Zurich and Ecole Polytechnique Fédérale de Lausanne
Date Posted: June 10, 2017
Last Revised: June 26, 2017
Working Paper Series
88 downloads

Incl. Electronic Paper The Long-Term Effect of Digital Innovation on Bank Performance: An Empirical Study of Swift Adoption in Financial Services
Research Policy, Vol. 46, No. 5, 2017, CEP Discussion Paper No 992 (2017)
Susan Scott, John Van Reenen and Markos Zachariadis
London School of Economics & Political Science (LSE), Massachusetts Institute of Technology (MIT) and Warwick Business School
Date Posted: June 09, 2017
Accepted Paper Series
16 downloads

Incl. Electronic Paper A Correlation Analysis of Order Aggressiveness
Cumhur Ekinci
Istanbul Technical University
Date Posted: June 09, 2017
Working Paper Series
59 downloads

Incl. Electronic Paper How Auctions Amplify House-Price Fluctuations
Alina Arefeva
Johns Hopkins University - Carey Business School
Date Posted: June 08, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper High Frequency Trading and Fundamental Trading
Sarah Draus
Erasmus University Rotterdam (EUR)
Date Posted: June 06, 2017
Working Paper Series
86 downloads

Incl. Electronic Paper What Drives the Trend and Behavior in Aggregate (Idiosyncratic) Variance? Follow the Bid-Ask Bounce
David A. Lesmond, Xuhui (Nick) Pan and Yihua Zhao
Tulane University - A.B. Freeman School of Business, Tulane University and Tulane University - A.B. Freeman School of Business
Date Posted: June 06, 2017
Working Paper Series
35 downloads

Incl. Electronic Paper Liquidity Commonality Does Not Imply Liquidity Resilience Commonality: A Functional Characterisation for Ultra-High Frequency Cross-Sectional LOB Data
Efstathios Panayi, Gareth William Peters and Ioannis Kosmidis
University College London - Financial Computing and Analytics Group, Department of Computer Science, University College London - Department of Statistical Science and Department of Statistical Science, University College London
Date Posted: June 05, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Algorithmic Trading and Mutual Fund Performance
Kingsley Y. L. Fong, Jerry T. Parwada and Joey (Wenling) Yang
University of New South Wales - School of Banking and Finance, UNSW Australia Business School, School of Banking and Finance and University of Western Australia
Date Posted: June 05, 2017
Working Paper Series
72 downloads

Incl. Fee Electronic Paper Tax Advantages and Imperfect Competition in Auctions for Municipal Bonds
NBER Working Paper No. w23473
Daniel Garrett, Andrey Ordin, James W. Roberts and Juan Carlos Suárez Serrato
Duke University, Duke University, Duke University and Duke University - Department of Economics
Date Posted: June 05, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Securities Fraud Embedded in the Market Structure Crisis: High-Frequency Traders as Primary Violators
William & Mary Business Law Review (Forthcoming)
Stanislav Dolgopolov
Decimus Capital Markets, LLC
Date Posted: June 05, 2017
Accepted Paper Series
287 downloads

Incl. Electronic Paper Fast and Precautious: Order Controls for Trade Execution
Brian M Bulthuis, Julio Concha, Tim Leung and Brian Ward
KCG Holdings Inc., KCG Holdings Inc., University of Washington - Department of Applied Math and Columbia University
Date Posted: June 04, 2017
Working Paper Series
51 downloads

Incl. Electronic Paper Order Flow, Volatility and Fuzzy Logic: Technical Analyses for Currency Trading
Vincent Kleinbrod and Xiaoming Li
Massey University, College of Business, School of Economics and Finance, Students and Massey University - School of Economics and Finance (Albany)
Date Posted: June 04, 2017
Working Paper Series
95 downloads

Incl. Electronic Paper Institutionalization of Capital and the Changing Role of Public Equity Markets: International Evidence
Ivalina Kalcheva, Janet Kiholm Smith and Richard L. Smith
University of California, Riverside, Claremont McKenna College - Robert Day School of Economics and Finance and University of California, Riverside - Anderson Graduate School of Management
Date Posted: June 03, 2017
Working Paper Series
22 downloads

Incl. Fee Electronic Paper Why Do Canadian Firms Cross‐List? The Flip Side of the Issue
Abacus, Vol. 53, Issue 2, pp. 211-239, 2017
Andreas Charitou and Christodoulos Louca
University of Cyprus and Cyprus University of Technology
Date Posted: June 03, 2017
Accepted Paper Series

Incl. Electronic Paper Expectations, Networks, and Conventions
Benjamin Golub and Stephen Morris
Harvard University and Princeton University - Department of Economics
Date Posted: June 03, 2017
Last Revised: June 04, 2017
Working Paper Series
87 downloads

Incl. Electronic Paper Providing Liquidity in an Illiquid Market: Dealer Behavior in U.S. Corporate Bonds
Michael A. Goldstein and Edith S. Hotchkiss
Babson College - Finance Division and Boston College - Carroll School of Management
Date Posted: June 01, 2017
Working Paper Series
53 downloads

Incl. Electronic Paper Economic Importance of Popularizing Corporate Bond Market in India
Velmurugan Palaniyappa Shanmugam and P Natarajan
Pondicherry University - Department of Commerce and Pondicherry University
Date Posted: June 01, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper An American Call IS Worth More Than a European Call: The Value of American Exercise When the Market Is Not Perfectly Liquid
Stephen Figlewski
New York University - Stern School of Business
Date Posted: June 01, 2017
Working Paper Series
46 downloads

Incl. Fee Electronic Paper Long Run Growth of Financial Technology
NBER Working Paper No. w23457
Maryam Farboodi and Laura Veldkamp
Princeton University - Bendheim Center for Finance and New York University - Stern School of Business
Date Posted: May 30, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper Mini-Flash Crashes, Model Risk, and Optimal Execution
Erhan Bayraktar and Alexander Munk
University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
Date Posted: May 30, 2017
Working Paper Series
34 downloads

Incl. Electronic Paper Interdealer Information in an Augmented Taylor Rule - A New Hybrid Approach to Analyze Exchange Rates
Ingomar Krohn and Michael Moore
University of Warwick - Finance Group and University of Warwick - Warwick Business School
Date Posted: May 26, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper High-Frequency Trading Strategies
Michael A. Goldstein, Amy Kwan and Richard Philip
Babson College - Finance Division, University of Sydney Business School and University of Sydney Business School
Date Posted: May 25, 2017
Working Paper Series
571 downloads

Incl. Electronic Paper Manipulation in the VIX?
John M. Griffin and Amin Shams
University of Texas at Austin - Department of Finance and University of Texas at Austin - Department of Finance
Date Posted: May 24, 2017
Working Paper Series
2817 downloads

Incl. Electronic Paper The Impact of Market Structure on Ex-Dividend Day Stock Price Behavior
Financial Management, Forthcoming
Sandra Mortal, Shishir K. Paudel and Sabatino Silveri
University of Alabama - Culverhouse College of Commerce & Business Administration, Alabama A&M University - College of Business and Public Affairs and University of Memphis - Fogelman College of Business and Economics
Date Posted: May 24, 2017
Accepted Paper Series
21 downloads


 

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