Publications utilisant des données EUROFIDAI

This page presents publications whose authors used EUROFIDAI services, daily or high frequency data. 

Publications:

• "The Globalization Risk Premium" by J.-N. Barrot (Massachusetts Institute of Technology), E. Loualiche (University of Minnesota), and J. Sauvagnat (Bocconi University) - Journal of Finance, Volume74, Issue 5, October 2019, Pages 2391-2439 - DAILY DATA
   
• "Market quality and dark trading in the post MiFID II era: What have we learned so far?" by P. Anagnostidis (Institut Europlace de Finance (IEF) and European Financial Data Institute), G. Papachristou (Aristotle University of Thessaloniki) and C. Varsakelis (UCLouvain) - Economics Letters, volume 184, November 2019, 108630 - HFT BEDOFIH DATA
   
• "Liquidity Commonality and High Frequency Trading : Evidence from the French stock market" by P. Anagnostidis (IEF EUROFIDAI) and P. Fontaine (EUROFIDAI) - International Review of Financial Analysis – 2019 - DOI 10.1016/j.irfa.2019.101428 - HFT BEDOFIH DATA
   
• "Financial Institutions Network and the Certification Value of Bank Loans" by C. J. Godlewski (University of Strasbourg) and B. Sanditov (Telecom Ecole de Management, Institut Mines-Telecom Paris) - Financial Management, Volume 47, Issue 2, Summer 2018, 253-283 - DAILY DATA
   
• "Investment goals and mental accounting in French retail clients" by M.H. Broihanne and H. Orkut (University of Strasbourg) - Finance, 2018/1 (Vol. 39), p. 107-144 - DAILY DATA
   

• "Investor Sentiment and Stock Return Predictability: the Power of Ignorance" by C. D'Hondt (Louvain Finance (IMMAQ), Louvain School of Management, Catholic University of Louvain) and P. Roger (LaRGE Research Center, EM Strasbourg Business School, University of Strasbourg) - Finance 2017/2 (Vol. 38), p. 7-37 - DAILY DATA
   

• "Financial Transaction Taxes, Market Composition and Liquidity" by J.E. Colliard (HEC Paris) and P. Hoffmann (European Central Bank) - Journal of Finance, Volume 72, Issue 6, December 2017, 2685-2716 - HFT BEDOFIH DATA
   

• "When cutting dividends is not bad news: The case of optional stock dividends" by T. David and E. Ginglinger (Paris-Dauphine University) - Journal of Corporate Finance, 2016, 40, 174-191 - DAILY DATA
   

• "Diversification, gambling and market forces" by M-H. Broihanne, M. Merli, P. Roger (LaRGE Research Center, EM Strasbourg Business School, University of Strasbourg) - Review of Quantitative Finance and Accounting, 2016, 47, 129-157 - DAILY DATA
   

• "Are Retail Traders Compensated for Providing Liquidity?" by J.N. Barrot (Massachusetts Institute of Technology), R. Kaniel (University of Rochester), David Sraer (Princeton University) - Journal of Financial Economics, April 2016 - DAILY DATA
   

• "Why Do Companies Switch the Listing Section of Their Common Stocks" by P. Fontaine, A. K. Cisse - Research in International Business and Finance, N°36, 2016, pp 624-640 - DAILY DATA
   

• "Repurchase behavior of individual investors, sophistication and regret" by M. Merli, C. Magron (LaRGE Research Center, EM Strasbourg Business School, University of Strasbourg) -  Journal of Banking and Finance, December 2015, 61, 15-26 - DAILY DATA
   

• "Through the looking glass: Indirect inference via simple equilibria" by L. Calvet et V. Czellar (HEC Paris) - Journal of Econometrics, 2015, volume 185, issue 2, April 2015, pages 343-358 - DAILY DATA
   

• "Accurate Methods for Approximate Bayesian Computation Filtering" by L. Calvet and V. Czellar (HEC Paris) - Journal of Financial Econometrics, 2015, 13(4), 798-838 - DAILY DATA
   

• "Consequences of Voluntary Stock Exchange Section Switching on Stocks Price, Liquidity and Volatility" par P. Fontaine et A. K. Cisse - Bankers, Markets and Investors, N°136-137, mai-juillet 2015, pp 42-62 - DAILY DATA
   

• "The 99% Market Sentiment Index" by P. Roger (LaRGE Research Center, EM Strasbourg Business School, University of Strasbourg) - Finance 2014/3 (35), 53-96 - DAILY DATA
   

• "Employee Ownership: a Theoretical and Empirical Investigation of Management Entrenchment vs. Reward Management" by N. Aubert (Toulon University and INSEEC Business School), G. Garnotel (INSEEC Business School), A. Lapied (Aix-Marseille University) and P. Rousseau (Aix-Marseille University) - Economic Modelling, 2014, vol. 40, issue C, 423-434 - DAILY DATA

• "What drives the herding behavior of individual investors?" by M. Merli (LaRGE Research Center, EM Strasbourg Business School), T. Roger (Paris Dauphine University) - December 2013, Finance 34(3) - DAILY DATA
   
• "Global, Local, and Contagious Investor Sentiment" by 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, 2012, 104(2), 272-287 - DAILY DATA
   
• "Individual Investors and Volatility" by T. Foucault, D. Thesmar (HEC Paris), D. Sraer (Princeton University) - Journal of Finance, August 2011, 66 (4), 1369-1406 - DAILY DATA
   
• "How Does Investor Sentiment Affect Stock Market Crises? Evidence from Panel Data" by 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, 2011, 46 - DAILY DATA

​Working papers:

• "A Tale of Two Cities - Inter-Market Latency, Market Integration, and Market Quality" by 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)" - Working paper, 2019 - HFT BEDOFIH DATA
   
• “Order Placement Strategies in High-Frequency Traders” by C. Métais (Institut Europlace de Finance, Paris and LaRGE Research Center, University of Strasbourg) – Working paper, 2019 - HFT BEDOFIH DATA
   

• "Paying for Market Liquidity: Competition and Incentives" by 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) - Working paper, 2019 - HFT BEDOFIH DATA

• "Are High-Frequency traders informed" by P. Anagnostidis (IEF EUROFIDAI), P. Fontaine (EUROFIDAI), and C. Varsakelis (Université Catholique de Louvain) - Working paper, 2019 - HFT BEDOFIH DATA
   

• "High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame?" by 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) - Working paper, 2018 - HFT BEDOFIH DATA
   

• "Fragmentation and the Price Discovery Dynamics: The Contributions of Multilateral Trading Facilities and Regulated Market" by R. Gillet and S. Ligot (Université Paris 1 Panthéon-Sorbonne) - Working paper, 2018 - HFT BEDOFIH DATA
   
• "The Equity Market and Its Price Discovery Risk: An Empirical Study for the CAC40 Stock Market Index" by R. Gillet and S. Ligot (Université Paris 1 Panthéon-Sorbonne) - Working paper, 2018 - HFT BEDOFIH DATA
• "Determinants of Implied Volatility Smiles - An Empirical Analysis Using Intraday DAX Equity Options" by A. Rathgeber (University of Augsburg), J. Stadler (University of Augsburg) and M. Ulze (University of Augsburg) - Working paper, 2017 - HFT BEDOFIH DATA
   
• "High-Frequency Market Making: Liquidity Provision, Adverse Selection, and Competition" by M. Bellia (Goethe University Frankfurt, Research Center SAFE) - Working paper, 2017 - HFT BEDOFIH DATA
   
• "Coming Early to the Party: High Frequency Traders in the Pre-Opening Phase and the Opening Auction of NYSE Euronext Paris" by 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) and D. Yuferova (Norwegian School of Economics) - Working paper, 2017 - HFT BEDOFIH DATA
   
• "The Role of Pre-Opening Mechanisms in Fragmented Markets" by S. Boussetta (University of Toulouse 1), L. Lescourret (ESSEC Business School) and S. Moinas (Toulouse School of Economics) - Working paper, 2017 - HFT BEDOFIH DATA
   
• "Households Learning in the Dark: Evidence from Retail Traders" by J.N. Barrot (HEC Paris) - Working paper, August 2012 - DAILY DATA
   
• "Informed and Uninformed traders at work: Evidence from the French Market" by F. Ferriani (University of Bologna) - Working paper, June 2011 - HFT DATA
   
• "In search of positive skewness: the case of individual investors" by M.H. Broihanne, M. Merli, P. Roger (LaRGE Research Center, EM Strasbourg Business School) - Working paper, June 2012 - DAILY DATA
   

PhD Dissertations

• "Analysis of equity and commodity derivatives" by Markus Ulze, University of Augsburg, PhD dissertation, ongoing
   
• “Modélisation des carnets d’ordres limites : un mix de modèle informationnel et stochastique”, by Nathaniel Gbenro, Cergy University, PhD dissertation, ongoing
   
• “Dual market making of ETF”, by Thomas Marta, Paris-Dauphine University, PhD dissertation, ongoing
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• "Topics on market microstructure and high frequency data” by Mario Bellia, Goethe University, PHD Dissertation, 2018
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• “Jumps and Uncertainties in Financial Markets – Applications of Lévy Processes and Implied Volatilities” by Johannes Stadler, University of Augsburg, PhD dissertation, 2017
   
• “The equity market and its price discovery risk: Methodological and empirical aspects” by Stéphanie Ligot, Université Paris I, PHD Dissertation 2017
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• "Competition between exchange platforms” by Selma Bousseta, Toulouse School of Economics, PhD Dissertation, 2016
   

• "Comment les marches d’actions français réagissent à l’arrivée d’informations?" by Laura Wolff (HEC Paris), under the supervision of Thierry Foucault (HEC Paris), 2016
   

• "Mini Flash Crashes and high frequency trading" by Matthieu Vidal (HEC Paris), under the supervision of Thierry Foucault (HEC Paris), 2016