Papers using data from EUROFIDAI

This page presents examples of papers whose authors used EUROFIDAI services, daily or high frequency data. 

Summary

Publications using HFT BEDOFIH DATA:

Title Author(s) Journal Year of publication

"Are retail investors less aggressive on small price stocks?"

C. Métais (Université de Strasbourg, LaRGE Research Center)

T. Roger (ICN Business School, CEREFIGE, Université de Lorraine)

Journal of Financial Markets

Available online 23 October 2021, 100685

2021

"No country for old distributions? On the comparison of implied option parameters between the Brownian motion and variance gamma process"

Markus Ulze (Institute of Materials Resource Management, University of Augsburg)

Johannes Stadler (Institute of Materials Resource Management, University of Augsburg)

Andreas W.Rathgeber (Institute of Materials Resource Management, University of Augsburg)

The Quarterly Review of Economics and Finance

Volume 82, Pages 163-184

November 2021
"Are High-Frequency traders informed"

P. Anagnostidis (IEF EUROFIDAI)

P. Fontaine (EUROFIDAI)

C. Varsakelis (UC Louvain)

Economic Modelling

93 (365-383)

2020
"Market quality and dark trading in the post MiFID II era: What have we learned so far?"

P. Anagnostidis (IEF EUROFIDAI)

G. Papachristou (Aristotle University of  Thessaloniki)

C. Varsakelis (UC Louvain)

Economics Letters

volume 184, 108630

November 2019
"Liquidity Commonality and High Frequency Trading : Evidence from the French stock market"

P. Anagnostidis (IEF EUROFIDAI)

P. Fontaine (EUROFIDAI)

International Review of Financial Analysis

DOI 10.1016/j.irfa.2019.101428

2019
"Financial Transaction Taxes, Market Composition and Liquidity"

J.E. Colliard (HEC Paris)

P. Hoffmann (European Central Bank)

Journal of Finance

Volume 72, Issue 6, 
2685-2716

December 2017

 

Working papers using HFT BEDOFIH DATA:

Title Author(s) Year
"Does a pre-open matter in fragmented markets?"

S. Boussetta (University of Bordeaux)

L. Daures-Lescourret (ESSEC Business School)

S. Moinas (Toulouse School of Economics) 

2020
"Designated Market Makers: Competition and Incentives"

M. Bellia (European Union - JRC-Ispra, European Commision)

L. Pelizzon (Goethe University Frankfurt - Faculty of Economics and Business Administration; Leibniz Institute for Financial Research SAFE; Ca Foscari University of Venice)

M. G. Subrahmanyam (New York University (NYU) - Department of Finance)

D. Yuferova (Norwegian School of Economics (NHH) - Department of Finance) 

SAFE Working Paper No. 247, 2020
"Trader Competition in Fragmented Markets: Liquidity Supply versus Picking-off Risk"

Alejandro Bernales (Universidad de Chile)

Nicolás Garrido (University of Chile)

Satchit Sagade (Goethe University Frankfurt - Department of Finance; Leibniz Institute for Financial Research SAFE)

Marcela Valenzuela (Pontificia Universidad Católica de Chile)

Christian Westheide (University of Vienna - Department of Finance; Leibniz Institute for Financial Research SAFE)

SAFE Working Paper No. 234, 2020
"Investigation Into Machine Learning Models for Predicting Stock Price and Spread Movements From News Articles"

Pontus Wistbacka (Hanken School of Economics)

Samuel Rönnqvist (Åbo Akademi University - Turku Centre for Computer Science (TUCS))

Katia Vozian (Hanken School of Economics - Helsinki Graduate School of Economics)

Satchit Sagade (Goethe University Frankfurt - Department of Finance; Leibniz Institute for Financial Research SAFE)

2020
"A Tale of Two Cities - Inter-Market Latency, Market Integration, and Market Quality"

Satchit Sagade (Goethe University Frankfurt - Department of Finance; Leibniz Institute for Financial Research SAFE)

Stefan Scharnowski (University of Mannheim)

Erik Theissen (University of Mannheim - Finance Area)

Christian Westheide (University of Vienna - Department of Finance; Leibniz Institute for Financial Research SAFE)

2019
"Resiliency: Cross-Venue Dynamics with Hawkes Processes"

Loriana Pelizzon (Goethe University Frankfurt - Faculty of Economics and Business Administration; Leibniz Institute for Financial Research SAFE)

Ca Foscari (University of Venice)

Satchit Sagade (Goethe University Frankfurt - Department of Finance; Leibniz Institute for Financial Research SAFE)

Katia Vozian (Hanken School of Economics - Helsinki Graduate School of Economics)

SAFE Working Paper No. 291, 2020
"Order Placement Strategies in High-Frequency Traders" C. Métais (Institut Europlace de Finance, Paris and LaRGE Research Center, University of Strasbourg) 2019
"Paying for Market Liquidity: Competition and Incentives"

M. Bellia (Goethe University Frankfurt - Research Center SAFE)

L. Pelizzon (Goethe University Frankfurt - Faculty of Economics and Business Administration)

M.G. Subrahmanyam (New York University (NYU)Departement of Finance)

D. Yuferova (Norwegian School of Economics (NHH) - Department of Finance)

2019
"High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame?"

M. Bellia (Goethe University Frankfurt - Research Center SAFE)

K. Christensen(University of Aarhus - CREATES)

A. Kolokolov (Goethe University Frankfurt - Research Center SAFE)

L. Pelizzon (Goethe University Frankfurt - Faculty of Economics and Business Administration)

R. Reno (Department of Economics, University of Verona)

2018
"Fragmentation and the Price Discovery Dynamics: The Contributions of Multilateral Trading Facilities and Regulated Market"

R. Gillet (Université Paris 1 Panthéon-Sorbonne)

S. Ligot (Université Paris 1 Panthéon-Sorbonne)

2018
"The Equity Market and Its Price Discovery Risk: An Empirical Study for the CAC40 Stock Market Index"

R. Gillet (Université Paris 1 Panthéon-Sorbonne)

S. Ligot (Université Paris 1 Panthéon-Sorbonne)

2018
"Determinants of Implied Volatility Smiles - An Empirical Analysis Using Intraday DAX Equity Options"

A. Rathgeber (University of Augsburg)

J. Stadler (University of Augsburg)

M. Ulze (University of Augsburg)

2017
"High-Frequency Market Making: Liquidity Provision, Adverse Selection, and Competition"

M. Bellia (Goethe University Frankfurt, Research Center SAFE)

2017
"Coming Early to the Party: High Frequency Traders in the Pre-Opening Phase and the Opening Auction of NYSE Euronext Paris"

M. Bellia (SAFE - Goethe University Frankfurt)

L. Pelizzon (SAFE - Goethe University Frankfurt)

M. G. Subrahmanyam (Leonard N. Stern School of Business - New York University)

J. Uno (Waseda University Tokyo)

D. Yuferova (Norwegian School of Economics)

2017
"The Role of Pre-Opening Mechanisms in Fragmented Markets"

S. Boussetta (University of Toulouse 1)

L. Lescourret (ESSEC Business School)

S. Moinas (Toulouse School of Economics)

2017
"Estimation of Trading Costs: Trade Indicator Models Revisited"

E. Theissen (University of Mannheim

S. Zehnder (University of Bonn)

2014

 

Publications using DAILY data

Title Author(s) Journal Year of publication
"Cultural Biases in Equity Analysis" Vesa Pursiainen (University of St. Gallen)  Journal of Finance Forthcoming
"What drives retail portfolio exposure to ESG factors?"

Catherine D’Hondt (UCLouvain, Louvain School of Management & Louvain Finance (LIDAM))

Maxime Merli (EM Strasbourg Business School, University of Strasbourg, LaRGE Research Center)

Tristan Roger (ICN Business School, CEREFIGE, Université de Lorraine)

Finance Research Letters

Available online 25 September 2021, 102470

2021
"Do retail investors bite offmore than they can chew? A close look at their return objectives" Catherine D’Hondt (Louvain Finance (LIDAM), Louvain School of Management)

Rudy De Winne (Louvain Finance (LIDAM), Louvain School of Management)

Maxime Merli (LaRGE Research Center, EM Strasbourg Business School, University of Strasbourg)

Journal of Economic Behavior & Organization

Volume 188
Pages 879-902

August 2021
"Trading leveraged Exchange-Traded products is hazardous to your wealth"

C. D'Hondt (Louvain Finance (IMMAQ), Louvain School of Management, Catholic University of Louvain)

Richard McGowan (Caroll School of Management, Boston College)

P. Roger (LaRGE Research Center, EM Strasbourg Business School, University of Strasbourg)

The Quarterly Review of Economics and Finance
80 (2021) 287-302

February 2021
"The Globalization Risk Premium"

J.-N. Barrot (Massachusetts Institute of Technology)

E. Loualiche (University of Minnesota)

J. Sauvagnat (Bocconi University)

Journal of Finance Volume74, Issue 5, Pages 2391-2439 October 2019
"Financial Institutions Network and the Certification Value of Bank Loans"

C. J. Godlewski (University of Strasbourg)

B. Sanditov (Telecom Ecole de Management, Institut Mines-Telecom Paris)

Financial Management Volume 47, Issue 2, 253-283 Summer 2018
"Investment goals and mental accounting in French retail clients"

M.H. Broihanne (University of Strasbourg)

H. Orkut (University of Strasbourg)

Finance
2018/1 (Vol. 39), p. 107-144

2018
"Investor Sentiment and Stock Return Predictability: the Power of Ignorance"

C. D'Hondt (Louvain Finance (IMMAQ), Louvain School of Management, Catholic University of Louvain)

P. Roger (LaRGE Research Center, EM Strasbourg Business School, University of Strasbourg)

Finance
2017/2 (Vol. 38), p. 7-37

2017
"When cutting dividends is not bad news: The case of optional stock dividends"

T. David (Paris-Dauphine University)

E. Ginglinger (Paris-Dauphine University)

Journal of Corporate Finance
40, 174-191
2016
"Diversification, gambling and market forces"

M-H. Broihanne (LaRGE Research Center, EM Strasbourg Business School, University of Strasbourg)

M. Merli (LaRGE Research Center, EM Strasbourg Business School, University of Strasbourg)

P. Roger (LaRGE Research Center, EM Strasbourg Business School, University of Strasbourg)

Review of Quantitative Finance and Accounting 47, 129-157 2016
"Are Retail Traders Compensated for Providing Liquidity?"

J.N. Barrot (Massachusetts Institute of Technology)

R. Kaniel (University of Rochester)

David Sraer (Princeton University)

Journal of Financial Economics April 2016
"Why Do Companies Switch the Listing Section of Their Common Stocks"

P. Fontaine (EUROFIDAI)

A. K. Cisse (ISG International Business School)

Research in International Business and Finance
N°36, pp 624-640
2016
"Repurchase behavior of individual investors, sophistication and regret"

M. Merli (LaRGE Research Center, EM Strasbourg Business School, University of Strasbourg)

C. Magron (LaRGE Research Center, EM Strasbourg Business School, University of Strasbourg)

Journal of Banking and Finance
61, 15-26
December 2015
"Through the looking glass: Indirect inference via simple equilibria"

L. Calvet (HEC Paris)

V. Czellar (HEC Paris)

Journal of Econometrics
volume 185, issue 2, April 2015, pages 343-358
2015
"Accurate Methods for Approximate Bayesian Computation Filtering"

L. Calvet (HEC Paris)

V. Czellar (HEC Paris)

Journal of Financial Econometrics
13(4), 798-838
2015
"Consequences of Voluntary Stock Exchange Section Switching on Stocks Price, Liquidity and Volatility"

P. Fontaine (EUROFIDAI)

A. K. Cisse

(ISG International Business School)

Bankers, Markets and Investors
N°136-137, mai-juillet 2015, pp 42-62
2015
"The 99% Market Sentiment Index" P. Roger (LaRGE Research Center, EM Strasbourg Business School, University of Strasbourg) Finance
2014/3 (35), 53-96
2014
"Employee Ownership: a Theoretical and Empirical Investigation of Management Entrenchment vs. Reward Management"

N. Aubert (Toulon University and INSEEC Business School)

G. Garnotel (INSEEC Business School)

A. Lapied (Aix-Marseille University)

P. Rousseau (Aix-Marseille University)

Economic Modelling
vol. 40, issue C, 423-434
2014
"What drives the herding behavior of individual investors?"

M. Merli (LaRGE Research Center, EM Strasbourg Business School)

T. Roger (Paris Dauphine University)

Finance
34(3)
December 2013
"Global, Local, and Contagious Investor Sentiment"

M. Baker (Harvard Business School and NBER)

J. Wurgler (NYU Stern School of Business and NBER)

Y. Yu (Wharton School of Business)

Journal of Financial Economics
104(2), 272-287
2012
"Individual Investors and Volatility"

T. Foucault (HEC Paris)

D. Thesmar (HEC Paris)

D. Sraer (Princeton University)

Journal of Finance
66 (4), 1369-1406
August 2011
"How Does Investor Sentiment Affect Stock Market Crises? Evidence from Panel Data"

M. Zouaoui (University of Franche-Comté and LEG UMR 5118)

G. Nouyrigat (University of Grenoble)

F. Beer (California State University of San Bernardino)

The Financial Review
46
2011

Working papers using DAILY data

Title Author(s) Year

"Disentangling domiciles and investor locations in international mutual fund data"

David A. Rakowski (University of Texas at Arlington)

2021
"Analyst Incentives and Stock Return Synchronicity: Evidence from MiFID II"

Yihan Li (University of Bath, School of management)

Xin Liu (Hanqing Advanced Institute of Economics and Finance, Renmin University of China)

Vesa Pursiainen (University of St. Gallen)

2021
"Measuring the Disposition Effect" Rudy De Winne (UCLouvain - Louvain Finance) 2020
"Do Individual Investors Bite Off More Than They Can Chew?"

Catherine D'Hondt (UCLouvain, Louvain School of Management - Louvain Finance)

Rudy De Winne (UCLouvain - Louvain Finance)

Maxime Merli (Strasbourg University, LaRGE Research Center, EM Strasbourg Business School)

2020
"CEO Compensation and Risk-Taking: Evidence from Listed European Hotel Firms"

Olga Fullana (Universitat de València)

Alba María Priego de la Cruz (University of Castilla-La Mancha)

David Toscano (University of Liverpool; University of Huelva)

2020
"The Impact of UCITS IV Directive on European Mutual Funds Performance"

Khim Veasna (University of Lorraine - CEREFIGE Research Center)

Hery Razafitombo (University of Lorraine - CEREFIGE Research Center)

2015
"Households Learning in the Dark: Evidence from Retail Traders" J.N. Barrot (HEC Paris) August 2012
"In search of positive skewness: the case of individual investors"

M.H. Broihanne (LaRGE Research Center, EM Strasbourg Business School)

M. Merli (LaRGE Research Center, EM Strasbourg Business School)

P. Roger (LaRGE Research Center, EM Strasbourg Business School)

June 2012

 

Phd dissertations

Title Author Year
"Analysis of equity and commodity derivatives"

Markus Ulze (University of Augsburg)

Ongoing
“Modélisation des carnets d’ordres limites : un mix de modèle informationnel et stochastique”

Nathaniel Gbenro (Cergy University)

Ongoing
Trois essais sur les ETF

Thomas Marta (Paris-Dauphine University)

2020
"Topics on market microstructure and high frequency data”

Mario Bellia (Goethe University)

2018
“Jumps and Uncertainties in Financial Markets – Applications of Lévy Processes and Implied Volatilities”

Johannes Stadler (University of Augsburg)

2017
The equity market and its price discovery risk: Methodological and empirical aspects Stéphanie Ligot (Université Paris I) 2017
"Competition between exchange platforms

Selma Bousseta (Toulouse School of Economics)

2016
"Comment les marches d’actions français réagissent à l’arrivée d’informations?"

Laura Wolff (HEC Paris), under the supervision of Thierry Foucault (HEC Paris)

2016
"Mini Flash Crashes and high frequency trading"

Matthieu Vidal (HEC Paris), under the supervision of Thierry Foucault (HEC Paris)

2016

 

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