Current affiliation: Goethe-Universitat Frankfurt am MainSubject: FinancePrimary location: Germany
Published in:International Journal of Managerial FinancePublication date:2016-08-01
This paper studies price discovery and price convergence in securities trading within a fragmented market environment where stocks are traded on mu...
Published in:SSRN Electronic JournalPublication date:Not available
This paper explores limit order book resiliency following liquidity shocks in the presence of high-frequency traders. Based on a unique data set th...
Published in:Journal of Information TechnologyPublication date:2017-03-06
Published in:The Journal of TradingPublication date:2017-01-01