In the era of high frequency trading and the pervasiveness of irregularly spaced trading, we control for the time element in the Modified Weighted Price Contribution (MWPC) model by Jahanshahloo and Spokeviciute (2018). We empirically show that our new modification controls for reaction time (Speed) of market participants to arrival of new information
Traders differ in speed and their speed differences matter. I model strategic interactions induced w...
We study the role of high-frequency trading in a dynamic limit order market. Fast traders' ability t...
In this paper we propose a tick time model for the quote setting process on Nasdaq using a time seri...
In the era of high frequency trading and the pervasiveness of irregularly spaced trading, we control...
We revisit the role of time in measuring the price impact of trades using a new empirical method tha...
Algorithmic Trading (AT) and High Frequency (HF) trading, which are responsible for over 70% of US ...
The file attached to this record is the author's final peer reviewed version.This study examines the...
The relationship between a market index and its constituent stocks is complicated. While an index is...
In this paper we investigate the price effects of trading intensity. Extending on the Madhavan et a...
We revisit the role of time in measuring the price impact of trades using a new empirical method tha...
Continuous security markets evolve as a sequence of timed events. This study is a descriptive analys...
This paper highlights the importance of timing specifications in empirical market microstructure stu...
In the current paper, we investigate the bias introduced through the calendar time sampling of the p...
This dissertation consists of four paper: “Fixing the fix? Assessing the Effectiveness of the 4PM Fi...
This paper presents two classes of tick-by-tick covariance estimators adapted to the case of roundin...
Traders differ in speed and their speed differences matter. I model strategic interactions induced w...
We study the role of high-frequency trading in a dynamic limit order market. Fast traders' ability t...
In this paper we propose a tick time model for the quote setting process on Nasdaq using a time seri...
In the era of high frequency trading and the pervasiveness of irregularly spaced trading, we control...
We revisit the role of time in measuring the price impact of trades using a new empirical method tha...
Algorithmic Trading (AT) and High Frequency (HF) trading, which are responsible for over 70% of US ...
The file attached to this record is the author's final peer reviewed version.This study examines the...
The relationship between a market index and its constituent stocks is complicated. While an index is...
In this paper we investigate the price effects of trading intensity. Extending on the Madhavan et a...
We revisit the role of time in measuring the price impact of trades using a new empirical method tha...
Continuous security markets evolve as a sequence of timed events. This study is a descriptive analys...
This paper highlights the importance of timing specifications in empirical market microstructure stu...
In the current paper, we investigate the bias introduced through the calendar time sampling of the p...
This dissertation consists of four paper: “Fixing the fix? Assessing the Effectiveness of the 4PM Fi...
This paper presents two classes of tick-by-tick covariance estimators adapted to the case of roundin...
Traders differ in speed and their speed differences matter. I model strategic interactions induced w...
We study the role of high-frequency trading in a dynamic limit order market. Fast traders' ability t...
In this paper we propose a tick time model for the quote setting process on Nasdaq using a time seri...
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