Lars L. Norden

Stockholm University - Stockholm Business School

Sweden

SCHOLARLY PAPERS

32

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10,932

SSRN CITATIONS
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Top 9,160

in Total Papers Citations

103

CROSSREF CITATIONS

30

Scholarly Papers (32)

1.

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 2,028 (8,511)
Citation 53

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

2.

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 1,431 (14,839)
Citation 3

Abstract:

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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 1,296 (16,963)
Citation 27

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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

4.

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 1,188 (19,716)
Citation 43

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

5.

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 773 (36,540)
Citation 5

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

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 660 (45,224)
Citation 2

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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 617 (48,770)
Citation 2

Abstract:

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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

8.

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 367 (93,185)

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

9.
Downloads 292 (119,889)
Citation 3

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 291 (119,627)
Citation 12

Abstract:

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

How Aggressive are High‐Frequency Traders?

Financial Review, Vol. 49, Issue 2, pp. 395-419, 2014
Number of pages: 25 Posted: 08 Apr 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 1 (770,876)
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high‐frequency trading, aggressiveness, order submission, liquidity, volatility

10.

Determinants of Limit Order Cancellations

Number of pages: 68 Posted: 10 Aug 2017 Last Revised: 10 Jan 2018
Stockholm University - Stockholm Business School, Stockholm University - Stockholm Business School and Stockholm University - Stockholm Business School
Downloads 246 (143,119)
Citation 4

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

11.

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 217 (161,321)

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Investor competence, Information, Individual behavior, Investment

12.

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 213 (164,167)
Citation 2

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Home bias, Individual investors, Portfolio churning, Performance

13.

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 208 (167,994)

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14.

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 192 (180,838)
Citation 1

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

15.

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 180 (191,558)
Citation 1

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Trading At Settlement, VIX Futures, Market Quality, Liquidity

16.

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 177 (194,425)
Citation 2

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

17.

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 174 (197,246)

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Futures, Transactions costs, Liquidity, Pricing efficiency

18.

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 167 (204,344)
Citation 1

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

19.

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 140 (236,386)

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

20.

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 139 (237,795)

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Futures bid-ask spread, asymmetry, liquidity

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 117 (271,015)

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

22.

Do We Need Electronic Stock Dealers?

Number of pages: 63 Posted: 27 Jun 2019
Fatemeh Aramian and Lars L. Norden
Stockholm University-Stockholm Business School and Stockholm University - Stockholm Business School
Downloads 43 (468,774)

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

23.

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 41 (477,296)

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24.

High-Frequency Traders and Single-Dealer Platforms

Number of pages: 56 Posted: 06 Jan 2021
Fatemeh Aramian and Lars L. Norden
Stockholm University-Stockholm Business School and Stockholm University - Stockholm Business School
Downloads 26 (553,238)

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High-Frequency Traders, Dealers, Liquidity, Inventory Management

25.

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

26.

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

27.

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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28.

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

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Option exchange design, Liquidity, Trading activity

29.

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

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30.

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

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American put options, Early exercise, Investor rationality

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Hedging, American equity options, Violations of basic properties

32.

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

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