Lars L. Norden

Stockholm University - Stockholm Business School

Sweden

SCHOLARLY PAPERS

35

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245

Scholarly Papers (35)

1.
Downloads 16,985 ( 457)
Citation 20

Nonstandard Errors

Journal of Finance, Volume 79, Issue 3, June 2024, Pages 2339-2390.
Number of pages: 52 Posted: 23 Nov 2021 Last Revised: 29 Oct 2024
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera Romero, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom L. Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Mianjun Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schuerhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Zhou Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, National Bureau of Economic Research (NBER), CNRS, University of Oxford, University of Technology Sydney, Dublin City University, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - McDonough School of Business, University of Mannheim, Tennessee Technological University, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra (UPF) - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam - Department of Finance and Financial Sector Management, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Economics, Toulouse School of Economics, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), George Washington University, University of Hohenheim, Queen's University (Canada), Queen's School of Business, The Brattle Group, Faculty of Business and Economics, Dresden University of Technology, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, VU University Amsterdam, University of Queensland - Business School, Georgetown University - Department of Economics, University of Wisconsin - Milwaukee - Department of Finance, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, UNSW Business School, HEC Paris - Finance Department, City University London - Bayes Business School, Universita della Svizzera Italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex - Essex Business School, Radboud University Nijmegen - Institute for Management Research, Ardea Investment Management, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tübingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Economics, University of California, Berkeley - Haas School of Business, West Virginia University - John Chambers College of Business and Economics, Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, Northeastern University - D'Amore-McKim School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig Maximilian University of Munich (LMU), Aalto University, University of Birmingham - Department of Economics, Queen's University Belfast - Queen's Management School, Universidad de los Andes, HEC Montreal, University of Adelaide, Chemnitz University of Technology (CUT) - Department of Economics, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, SAFE Leibniz Institute for Financial Research, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Independent Researcher, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, ESCP Europe - ESCP Europe - Turin Campus, Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, Independent, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, UNSW Australia Business School, School of Banking and Finance, Mississippi State University, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz - Institute of Banking and Finance, Royal Melbourne Institute of Technolog (RMIT University) - Blockchain Innovation Hub, University of Toronto, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, University of Duisburg-Essen - Mercator School of Management, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington - Department of Finance and Real Estate, University of Basel - Faculty of Business and Economics, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam, ESSEC Business School, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Edinburgh Business School, Oklahoma State University, HEC Paris - Finance Department, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG), University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Banks - Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, The University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU Amsterdam - School of Business and Economics, Federal Reserve Bank of New York, Wilfrid Laurier University - Finance, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, University of New South Wales (UNSW), University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol Business School, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol - Department of Finance and Accounting, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, Vlerick Business School, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Reykjavik University, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex, Erasmus University Rotterdam, Central Michigan University, Aalto University, Singapore Management University - Lee Kong Chian School of Business, Singapore Management University - Lee Kong Chian School of Business, NHH Norwegian School of Economics - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam (VU Amsterdam), University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS) - Monetary and Economic Department, University of Calgary - Haskayne School of Business, Vrije Universiteit Amsterdam, School of Business and Economics, Queen's University, HEC Paris, University of Birmingham, King’s College London, Cardiff Business School, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Finance, Gottfried Wilhelm Leibniz Universität Hannover, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, State University of New York (SUNY) - University at Buffalo, Southwestern University of Finance and Economics (SWUFE), NGS Super, University of Toulouse Capitole, UC3M, University of Reading - ICMA Centre, Pontificia Universidad Católica de Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 16,985 (489)
Citation 20

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nonstandard errors, multi-analyst study, liquidity

2.

The Diversity of High-Frequency Traders

Number of pages: 56 Posted: 27 Sep 2012 Last Revised: 20 May 2013
Björn Hagströmer and Lars L. Norden
Stockholm University - Stockholm Business School and Stockholm University - Stockholm Business School
Downloads 2,505 (12,205)
Citation 57

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High-frequency trading, Market making, Market quality, Volatility, order-to-trade ratio

3.

Trading Fast and Slow: Colocation and Liquidity

Review of Financial Studies, Forthcoming
Number of pages: 57 Posted: 30 Aug 2013 Last Revised: 19 Jun 2020
University of Utah - David Eccles School of Business, Stockholm University - Stockholm Business School, Stockholm University - Stockholm Business School and Queen's University - Smith School of Business
Downloads 1,630 (24,167)
Citation 84

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colocation, high-frequency trading, liquidity, fast trading, proximity services

4.

Alchemy in the 21st Century: Hedging with Gold Futures

Number of pages: 48 Posted: 06 Aug 2010 Last Revised: 17 Aug 2010
Caihong Xu, Lars L. Norden and Björn Hagströmer
Stockholm University - Stockholm Business School, Stockholm University - Stockholm Business School and Stockholm University - Stockholm Business School
Downloads 1,530 (26,513)
Citation 3

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Gold futures, China’s gold market, Hedging effectiveness

Home Sweet Home: Home Bias and International Diversification Among Individual Investors

Number of pages: 37 Posted: 03 Aug 2004
Anders Karlsson and Lars L. Norden
Stockholm University - Department of Corporate Finance and Stockholm University - Stockholm Business School
Downloads 1,428 (28,883)
Citation 40

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Home Sweet Home: Home Bias and International Diversification Among Individual Investors

Journal of Banking and Finance, Vol. 31, 2007
Posted: 20 Apr 2007
Anders Karlsson and Lars L. Norden
Stockholm University - Department of Corporate Finance and Stockholm University - Stockholm Business School

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Home bias, Individual investors, Defined contribution pension plans

6.

VIX Futures Calendar Spreads

Number of pages: 44 Posted: 16 May 2017
Ai Jun Hou and Lars L. Norden
Stockholm University and Stockholm University - Stockholm Business School
Downloads 1,410 (29,966)
Citation 3

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7.

Shareholder Activism among Portfolio Managers: Rational Decisions or 15 Minutes of Fame?

Number of pages: 25 Posted: 07 Jun 2007 Last Revised: 19 May 2008
Lars L. Norden and Therese Strand
Stockholm University - Stockholm Business School and Copenhagen Business School, Center for Corporate Governance
Downloads 827 (63,999)
Citation 5

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Institutional shareholder activism,Target firms, Agency theory, Institutional theory

Asymmetric Option Price Distribution and Bid-Ask Quotes: Consequences for Implied Volatility Smiles

Number of pages: 24 Posted: 03 Mar 2002
Lars L. Norden
Stockholm University - Stockholm Business School
Downloads 700 (78,502)
Citation 2

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Option bid-ask spread, asymmetry, volatility smile

Asymmetric Option Price Distribution and Bid-Ask Quotes: Consequences for Implied Volatility Smiles

Posted: 08 Sep 2003
Lars L. Norden
Stockholm University - Stockholm Business School

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Option bid ask spread, Asymmetry, Volatility smile

9.

The Determinants of Limit Order Cancellations

Forthcoming in The Financial Review
Number of pages: 72 Posted: 10 Aug 2017 Last Revised: 13 Jul 2023
Royal Institute of Technology (KTH), Department of Industrial Economics and Management (INDEK), Students, Stockholm University - Stockholm Business School and Stockholm University - Stockholm Business School
Downloads 575 (102,384)
Citation 5

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limit order profits, queue position, liquidity supply, fleeting orders, HFT, time priority, market depth, market making

10.

High-Frequency Traders and Single-Dealer Platforms

Number of pages: 57 Posted: 06 Jan 2021 Last Revised: 24 Nov 2021
Fatemeh Aramian and Lars L. Norden
University of Melbourne - Faculty of Business and Economics and Stockholm University - Stockholm Business School
Downloads 520 (116,011)
Citation 2

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High-Frequency Traders, Dealers, Liquidity, Inventory Management

11.

Information Asymmetry, Bid-Ask Spreads and Option Returns

Number of pages: 28 Posted: 23 Jul 2003
Fredrik Berchtold and Lars L. Norden
Stockholm University - Department of Corporate Finance and Stockholm University - Stockholm Business School
Downloads 485 (126,257)

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information asymmetry, option bid-ask spreads, time series analysis, stock and strangle return shocks

12.

How Aggressive are High-Frequency Traders?

Number of pages: 52 Posted: 22 Sep 2013
Björn Hagströmer, Lars L. Norden and Dong Zhang
Stockholm University - Stockholm Business School, Stockholm University - Stockholm Business School and Stockholm University - Stockholm Business School
Downloads 384 (165,658)
Citation 17

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high-frequency trading, HFT, aggressiveness, liquidity, volatility, diagonal effect

13.

Two Order Books Are Better than One? Trading at Settlement (TAS) in VIX Futures

Number of pages: 32 Posted: 16 May 2014 Last Revised: 10 Jul 2014
Bujar Huskaj and Lars L. Norden
Lund University and Stockholm University - Stockholm Business School
Downloads 329 (196,224)
Citation 1

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Trading At Settlement, VIX Futures, Market Quality, Liquidity

14.

Option Exchange Design: Concentration of Trading and Open Interest at the Swedish Index Options Market

Number of pages: 16 Posted: 19 May 2003
Lars L. Norden
Stockholm University - Stockholm Business School
Downloads 295 (220,536)

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15.

Investor Competence, Information, and Investment Activity

Number of pages: 38 Posted: 03 Mar 2008
Anders Karlsson and Lars L. Norden
Stockholm University - Department of Corporate Finance and Stockholm University - Stockholm Business School
Downloads 281 (232,924)

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Investor competence, Information, Individual behavior, Investment

16.

Costs and Benefits of Trading with Stock Dealers: The Case of Systematic Internalizers

European Financial Management, Open Access: https://doi.org/10.1111/eufm.12430
Number of pages: 57 Posted: 27 Jun 2019 Last Revised: 02 Aug 2023
Fatemeh Aramian and Lars L. Norden
University of Melbourne - Faculty of Business and Economics and Stockholm University - Stockholm Business School
Downloads 279 (233,759)

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Equity Markets, Dealers, Exchanges, Trading Costs, Systematic Internalizers

17.

Individual Home Bias, Portfolio Churning and Performance

Number of pages: 40 Posted: 04 Feb 2008 Last Revised: 20 Aug 2009
Lars L. Norden
Stockholm University - Stockholm Business School
Downloads 274 (238,194)
Citation 2

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Home bias, Individual investors, Portfolio churning, Performance

18.

Closing Call Auctions at the Index Futures Market

24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 45 Posted: 17 Mar 2011 Last Revised: 19 Nov 2012
Björn Hagströmer and Lars L. Norden
Stockholm University - Stockholm Business School and Stockholm University - Stockholm Business School
Downloads 261 (250,269)
Citation 1

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Call auctions, Index futures, Trader patience, Liquidity, Price discovery

19.

A Brighter Future with Lower Transactions Costs?

Number of pages: 34 Posted: 21 Feb 2008 Last Revised: 06 Oct 2008
Lars L. Norden
Stockholm University - Stockholm Business School
Downloads 223 (292,179)

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Futures, Transactions costs, Liquidity, Pricing efficiency

20.

Benefits of Contribution: Individual Asset Allocation, Diversification and Welfare in a Defined Contribution Pension System

Number of pages: 35 Posted: 15 Mar 2006
Anders Karlsson and Lars L. Norden
Stockholm University - Department of Corporate Finance and Stockholm University - Stockholm Business School
Downloads 221 (294,684)
Citation 2

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Defined contribution pension plans, Individual investors, Asset allocation, Performance

21.

Best Execution: Can Institutional and Retail Investors Benefit from Fast and Fragmented Trading?

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 50 Posted: 22 Jan 2016 Last Revised: 02 Feb 2016
Stockholm Business School, Stockholm University, Stockholm University - Stockholm Business School and Stockholm University - Stockholm Business School
Downloads 217 (299,905)

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execution quality, smart order routing, market timing, institutional investors, effective spread, implementation shortfall

22.

Option Happiness and Liquidity: Is the Dynamics of the Volatility Smirk Affected by Relative Option Liquidity?

Number of pages: 53 Posted: 11 Sep 2009
Lars L. Norden and Caihong Xu
Stockholm University - Stockholm Business School and Stockholm University - Stockholm Business School
Downloads 216 (301,292)
Citation 1

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implied volatility, volatility smirk, option happiness, relative option liquidity

23.

Liquidity and Trading Activity on a New Futures Market: The Thailand Futures Exchange (TFEX)

Number of pages: 34 Posted: 25 Jan 2010 Last Revised: 26 Aug 2010
Lars L. Norden
Stockholm University - Stockholm Business School
Downloads 199 (325,356)

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Futures; Liquidity, Bid-Ask Spread, Depth, Volatility, Trading Activity, Causality

24.

Asymmetric Futures Price Distribution and Bid-Ask Quotes

Number of pages: 36 Posted: 18 Aug 2009
Lars L. Norden
Stockholm University - Stockholm Business School
Downloads 176 (367,579)

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Futures bid-ask spread, asymmetry, liquidity

25.

Futures Trading Costs and Market Microstructure Invariance: Identifying Bet Activity

Number of pages: 49 Posted: 28 Dec 2022
Ai Jun Hou, Lars L. Norden and Caihong Xu
Stockholm University, Stockholm University - Stockholm Business School and Stockholm University - Stockholm Business School
Downloads 148 (421,861)

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Market microstructure invariance, bet volume, bet volatility, transactions costs

26.

Bright Light, Dark Room: Where do Corporate Insiders Trade?

Number of pages: 46 Posted: 24 Sep 2024
Alexander Hübbert and Lars L. Norden
Stockholm University and Stockholm University - Stockholm Business School
Downloads 138 (446,297)

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Insider trading, market fragmentation, venue choice, abnormal return

27.

Online Appendix: How Aggressive are High-Frequency Traders?

Number of pages: 9 Posted: 01 Mar 2014
Björn Hagströmer, Lars L. Norden and Dong Zhang
Stockholm University - Stockholm Business School, Stockholm University - Stockholm Business School and Stockholm University - Stockholm Business School
Downloads 71 (700,355)

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28.

A Brighter Future with Lower Transaction Costs?

Journal of Futures Markets, Vol. 29, 2009
Posted: 18 Aug 2009
Lars L. Norden
Stockholm University - Stockholm Business School

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Futures, Transaction costs, Liquidity, Volatility, Pricing efficiency

29.

Moving Forward into the Future

Review of Futures Markets, Vol. 16, 2008
Posted: 30 Jan 2008
Lars L. Norden
Stockholm University - Stockholm Business School

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Futures, Forwards, Daily settlement, Liquidity, Hedging performance

30.

Does an Index Futures Split Enhance Trading Activity and Hedging Effectiveness of the Futures Contract?

Journal of Futures Markets, Vol. 26, 2006
Posted: 22 Aug 2006
Lars L. Norden
Stockholm University - Stockholm Business School

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31.

Option Exchange Design: Liquidity and Trading Activity at the Swedish Index Options Market

Review of Futures Markets, Vol. 14, 2006
Posted: 09 Aug 2006
Lars L. Norden
Stockholm University - Stockholm Business School

Abstract:

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Option exchange design, Liquidity, Trading activity

32.

Information Flows and Option Bid-Ask Spreads

Journal of Futures Markets, Vol. 25, 2005
Posted: 09 Aug 2006
Lars L. Norden and Fredrik Berchtold
Stockholm University - Stockholm Business School and Stockholm University - Department of Corporate Finance

Abstract:

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33.

Early Exercise of American Put Options: Investor Rationality on the Swedish Equity Options Market

Journal of Futures Market , Vol. 20, pp. 167-188, 2000
Posted: 22 Nov 2003
Malin Engstrom and Lars L. Norden
Stockholm University - School of Business and Stockholm University - Stockholm Business School

Abstract:

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American put options, Early exercise, Investor rationality

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Hedging, American equity options, Violations of basic properties

35.

The Early Exercise Premium in American Put Option Prices

Posted: 12 Nov 2003
Malin Engstrom and Lars L. Norden
Stockholm University - School of Business and Stockholm University - Stockholm Business School

Abstract:

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Early exercise premium, American put options, Modified control variate technique