Publications using DAILY data

Measuring speculation beyond day trading and bets on lottery-like stocks

  • Werner De Bondt (Driehaus College of Business, DePaul University)
  • Rudy De Winne (Louvain Finance (LIDAM) & Louvain School of Management, UCLouvain)
  • Catherine d'Hondt (Louvain Finance (LIDAM) & Louvain School of Management, UCLouvain)

International Review of Financial Analysis

2024

Mutual Fund Proliferation and Entry Deterrence

  • Sebastien Betermier, McGill University
  • David Schumacher, McGill University
  • Ali Shahrad, University of Saskatchewan

The Review of Asset Pricing Studies

2023

Disentangling domiciles and investor locations in European mutual fund data

  • David Rakowski (The University of Texas at Arlington)

Finance Research Letters

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

2022

All publications

Publications using HFT BEDOFIH DATA

Do designated market makers provide liquidity during downward extreme price movements?

Mario Bellia (Joint Research Centre & Ca’ Foscari University), Kim Christensen (Aarhus University), Aleksey Kolokolov (Alliance Manchester Business School & NES), Loriana Pelizzon (Ca’ Foscari University & SAFE, Goethe University & CEPR), Roberto Renò (ESSEC Business School)<

Journal of Financial Markets

2025

Detecting the risk of cross-product manipulation in the EUREX fixed income futures market

  • Alexis Stenfors (University of Portsmouth)
  • Kaveesha Dilshani (University of Technology Sydney)
  • Andy Guo (University of Technology Sydney)
  • Peter Mere (Macquarie University)

Journal of Internationals Financial Markets, Institutions and Money

2024

Equity auction dynamics: latent liquidity models with activity acceleration

  • Mohammed Salek, Université Paris-Saclay, CentraleSupélec
  • Damien Challet, Université Paris-Saclay, CentraleSupélec
  • Ioane Muni Toke, Université Paris-Saclay, CentraleSupélec 

Quantitative Finance

2024

Market Liquidity and Competition among Designated Market Makers

  • Mario Bellia, European Commission, Joint Research Centre (JRC)
  • Loriana Pelizzon, SAFE, Goethe University Frankfurt and Ca’Foscari University of Venice
  • Marti G. Subrahmanyam, Leonard N. Stern School of Business, New York University and NYU Shanghai
  • Darya Yuferova, Norwegian School of Economics (NHH)

Management Science

2024

All publications

Working papers using DAILY data

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

Measuring the Disposition Effect

Rudy De Winne (UCLouvain - Louvain Finance)

2021

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)

2018

All publications

Working papers using HFT BEDOFIH DATA

A Model to Quantify the Risk of CrossProduct Manipulation: Evidence from the European Government Bond Futures Market

  • Alexis Stenfors, University of Portsmouth
  • Kaveesha Dilshani, University of Technology Sydney
  • Andy Guo, University of Technology Sydney
  • Peter Mere, Macquarie University

2023

Tackling the Problem of State Dependent Execution Probability: Empirical Evidence and Order Placement

  • T. Fabre (CentraleSupélec, Université Paris-Saclay)
  • V. Ragel (CentraleSupélec, Université Paris-Saclay) 

2023

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)

Université Paris-Saclay

2023

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

2020

All publications