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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)