Magdalena Massot

Universidad de las Islas Baleares

Associate Professor

Crtra. Valldemossa, km 7.5

Ed. Jovellanos

Palma de Mallorca, Illles Balears 07122

Spain

SCHOLARLY PAPERS

2

DOWNLOADS

340

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Evaluating VPIN as a Trigger for Single-Stock Circuit Breakers

Journal of Banking and Finance, Forthcoming
Number of pages: 49 Posted: 24 Mar 2015 Last Revised: 14 Aug 2017
David Abad, Magdalena Massot and Roberto Pascual
Universidad de Alicante, Universidad de las Islas Baleares and Universidad de las Islas Baleares
Downloads 214 (175,355)
Citation 1

Abstract:

Loading...

VPIN, circuit breakers, trading halts, price limits, order-flow toxicity

2.

Order Flow Toxicity under the Microscope

Number of pages: 45 Posted: 18 Nov 2019 Last Revised: 13 Jun 2021
Universidad de Alicante, Universidad de las Islas Baleares, Indian Institute of Management Udaipur, Universidad de las Islas Baleares and University of Murcia
Downloads 126 (274,356)
Citation 1

Abstract:

Loading...

Order flow, toxicity, order imbalance, HFT, limit orders, market orders, cancelations, monitoring, market liquidity.