Johannes Atle Skjeltorp

Central Bank of Norway

P.O. Box 1179

Oslo, N-0107

Norway

http://www.norges-bank.no/research/skjeltorp/

SCHOLARLY PAPERS

12

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CITATIONS
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28

Scholarly Papers (12)

1.

Stock Market Liquidity and the Business Cycle

Journal of Finance, Forthcoming
Number of pages: 35 Posted: 11 Jul 2008 Last Revised: 25 May 2010
Randi Naes, Johannes Atle Skjeltorp and Bernt Arne Ødegaard
Norwegian Ministry of Trade and Industry, Central Bank of Norway and University of Stavanger
Downloads 520 (36,067)
Citation 16

Abstract:

Market Microstructure, Liquidity, Business Cycles

2.

Flashes of Trading Intent at the NASDAQ

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, Norges Bank Working Paper 17, AFA 2012 Chicago Meetings Paper
Number of pages: 57 Posted: 22 Mar 2011 Last Revised: 19 Jul 2016
Johannes Atle Skjeltorp, Elvira Sojli and Wing Wah Tham
Central Bank of Norway, UNSW Business School, School of Banking and Finance and Erasmus School of Economics - Econometric Institute
Downloads 446 (51,459)
Citation 2

Abstract:

Actionable Indication of Interest (IOI); Flash orders; High-frequency Trading; Market quality; Market transparency; Sunshine trading.

3.

The Risk Components of Liquidity

EFA 2008 Athens Meetings Paper
Number of pages: 24 Posted: 17 Mar 2008
Lorán Chollete, Randi Naes and Johannes Atle Skjeltorp
UiS Business School, Norwegian Ministry of Trade and Industry and Central Bank of Norway
Downloads 356 (62,857)
Citation 2

Abstract:

Liquidity Risk, Liquidity Factors, Asset Pricing, Market Microstructure

4.

Order Book Characteristics and the Volume-Volatility Relation: Empirical Evidence from a Limit Order Market

EFA 2004 Maastricht Meetings Paper No. 2742
Number of pages: 55 Posted: 19 Jul 2004
Randi Naes and Johannes Atle Skjeltorp
Norwegian Ministry of Trade and Industry and Central Bank of Norway
Downloads 310 (73,155)
Citation 6

Abstract:

Market microstructure, equity trading, asymmetric information

5.

Trading on Algos

Number of pages: 40 Posted: 02 Nov 2013 Last Revised: 02 Feb 2016
Johannes Atle Skjeltorp, Elvira Sojli and Wing Wah Tham
Central Bank of Norway, UNSW Business School, School of Banking and Finance and Erasmus School of Economics - Econometric Institute
Downloads 305 (52,596)

Abstract:

Asset pricing, Algorithmic trading, High frequency trading, Market quality, Liquidity

6.

What Captures Liquidity Risk? Order Based Versus Trade Based Liquidity Measures

Number of pages: 47 Posted: 02 Mar 2007
Lorán Chollete, Randi Naes and Johannes Atle Skjeltorp
UiS Business School, Norwegian Ministry of Trade and Industry and Central Bank of Norway
Downloads 302 (75,481)

Abstract:

Market microstructure, Common factor, Asset pricing, Liquidity factor, High frequency liquidity

7.

Identifying Cross-Sided Liquidity Externalities

Asian Finance Association (AsFA) 2013 Conference, Norges Bank Working Paper 2012-20
Number of pages: 55 Posted: 21 Mar 2012 Last Revised: 19 Aug 2013
Johannes Atle Skjeltorp, Elvira Sojli and Wing Wah Tham
Central Bank of Norway, UNSW Business School, School of Banking and Finance and Erasmus School of Economics - Econometric Institute
Downloads 210 (119,155)

Abstract:

Liquidity cycle, Liquidity externality, Two-sided markets, Make/take fees

8.

Liquidity at the Oslo Stock Exchange

Number of pages: 45 Posted: 11 Jul 2008
Randi Naes, Johannes Atle Skjeltorp and Bernt Arne Ødegaard
Norwegian Ministry of Trade and Industry, Central Bank of Norway and University of Stavanger
Downloads 204 (105,637)
Citation 1

Abstract:

G12, G14

9.

Pricing Implications of Shared Variance in Liquidity Measures

NHH Dept. of Finance & Management Science Discussion Paper No. 2006/9
Number of pages: 35 Posted: 07 Mar 2007
Lorán Chollete, Randi Naes and Johannes Atle Skjeltorp
UiS Business School, Norwegian Ministry of Trade and Industry and Central Bank of Norway
Downloads 141 (156,116)

Abstract:

Market microstructure, Common factor, Asset pricing, Liquidity factor, high frequency liquidity

10.

When Do Listed Firms Pay for Market Making in Their Own Stock?

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 32 Posted: 14 Oct 2011 Last Revised: 05 Mar 2014
Johannes Atle Skjeltorp and Bernt Arne Ødegaard
Central Bank of Norway and University of Stavanger
Downloads 124 (169,114)

Abstract:

Stock market liquidity, corporate finance, designated market makers, affirmative obligations, equity issuance, share repurchase

11.

Throttling Hyperactive Robots - Order to Trade Ratios at the Oslo Stock Exchange

Number of pages: 26 Posted: 22 Feb 2014 Last Revised: 19 May 2017
Kjell Jorgensen, Johannes Atle Skjeltorp and Bernt Arne Ødegaard
BI Norwegian Business School - Department of Financial Economics, Central Bank of Norway and University of Stavanger
Downloads 74 (167,217)

Abstract:

High Frequency Trading, Regulation, Order to Trade Ratio

12.

The Liquidity of the Secondary Market for Debt Securities in Norway

Number of pages: 31 Posted: 04 Jun 2013
Ketil Johan Rakkestad, Johannes Atle Skjeltorp and Bernt Arne Ødegaard
Norges Bank, Central Bank of Norway and University of Stavanger
Downloads 61 (259,993)

Abstract:

Bond Markets, Liquidity, Norway