Samarpan Nawn

Indian Institute of Management Udaipur

Balicha

Udaipur, Rajasthan 313001

India

CFA Institute

915 East High Street

Charlottesville, VA 22902

United States

SCHOLARLY PAPERS

5

DOWNLOADS

534

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

Order Exposure in High Frequency Markets

Number of pages: 53 Posted: 21 Nov 2017 Last Revised: 22 Jun 2020
Saint Louis University - Richard A. Chaifetz School of Business, University of California, Berkeley - Haas School of Business, Indian Institute of Management Udaipur and Universidad de las Islas Baleares
Downloads 191 (175,394)

Abstract:

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Hidden orders, high frequency trading, order exposure

Market Liquidity: A Study from Proprietary Algorithmic Traders Perspective

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 35 Posted: 22 Jan 2016 Last Revised: 22 Aug 2016
Ashok Banerjee and Samarpan Nawn
Indian Institute of Management (IIM), Calcutta and Indian Institute of Management Udaipur
Downloads 139 (230,338)

Abstract:

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HFT, depth, cancellation, volatility, limit orders, stress

Market Liquidity: A Study from Proprietary Algorithmic Traders Perspective

Posted: 19 Nov 2015
Ashok Banerjee and Samarpan Nawn
Indian Institute of Management (IIM), Calcutta and Indian Institute of Management Udaipur

Abstract:

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Market Microstructure, algorithmic traders, High-frequency traders, capital markets, regulators, limit orders, liquidity

3.

Order Flow Toxicity under the Microscope

Number of pages: 54 Posted: 18 Nov 2019 Last Revised: 01 Jul 2020
Universidad de Alicante, Universidad de las Islas Baleares, Indian Institute of Management Udaipur, Universidad de las Islas Baleares and University of Murcia
Downloads 98 (296,136)

Abstract:

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

4.

Do Proprietary Algorithmic Traders Withdraw Liquidity During Market Stress?

Number of pages: 43 Posted: 26 Oct 2017
Samarpan Nawn and Ashok Banerjee
Indian Institute of Management Udaipur and Indian Institute of Management (IIM), Calcutta
Downloads 64 (379,865)
Citation 2

Abstract:

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HFT, Depth, Imbalance, Volatility, Limit Orders

5.

Price Discovery Contribution of Proprietary and Agency Algorithmic Traders

Number of pages: 28 Posted: 26 Oct 2017
Samarpan Nawn and Ashok Banerjee
Indian Institute of Management Udaipur and Indian Institute of Management (IIM), Calcutta
Downloads 42 (458,123)

Abstract:

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HFT, Limit Orders, Quote, Market Manipulation