Working papers using HFT BEDOFIH DATA
Price impact in equity auctions: zero, then linear
- Mohammed Salek (Université Paris-Saclay, CentraleSupélec)
- Damien Challet (Université Paris-Saclay, CentraleSupélec)
- Ioane Muni Toke (Université Paris-Saclay, CentraleSupélec)
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
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 Schoo
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;
Publications using DAILY data
- Vesa Pursiainen (University of St. Gallen)
Journal of Finance
2021
Disentangling domiciles and investor locations in European mutual fund data
- David Rakowski (The University of Texas at Arlington)
Finance Research Letters
Available online 30 September 2022
Analyst Incentives and Stock Return Synchronicity: Evidence from MiFID II
- Yihan Li (University of Bath)
- Xin Liu (Renmin University of China)
- Vesa Pursiainen (University of St. Gallen and Swiss Finance Institute)
Financial Analysts Journal
Volume 78, 2022 - Issue 4
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
Volume 46, Part B, May 2022, 102470
Publications using HFT BEDOFIH DATA
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
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
Intraday volatility smile: Effects of fragmentation and high frequency trading on price efficiency
- Stephanie Ligot (Sorbonne Management School (PRISM Sorbonne and Labex ReFi), University Paris 1 Panthéon Sorbonne)
- Roland Gillet (Sorbonne Management School (PRISM Sorbonne and Labex ReFi), University Paris 1 Panthéon Sorbonne and Solvay Brussels School of Economics and Management (CEBRIG), ULB)
- Iryna Veryzhenko (CNAM Paris)
Journal of International Financial Markets, Institutions & Money
Volume 75, November 2021, 101437
Are High-Frequency traders informed
- P. Anagnostidis (IEF EUROFIDAI)
- P. Fontaine (EUROFIDAI)
- C. Varsakelis (UC Louvain)
Economic Modelling
93 (365-383), 2020
Working papers using DAILY data
Disentangling domiciles and investor locations in international mutual fund data
David A. Rakowski (University of Texas at Arlington)
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)
Measuring the Disposition Effect
Rudy De Winne (UCLouvain - Louvain Finance)
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)