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Publications using HFT BEDOFIH DATA

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 

Université Paris-Saclay

Market Liquidity and Competition among Designated Market Makers

  • Mario Bellia, European Commission, Joint Research Centre (JRC), Italy
  • 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


Identification of high-frequency trading: A machine learning approach

  • Mostafa Goudarzi, Department of Economics and Management, University of Trento, Italy
  • Flavio Bazzana, LUT Business School, LUT University, Finland

Research in International Business and Finance


The profitability of lead–lag arbitrage at high frequency

  • Cédric Poutré (Université de Montréal)
  • Georges Dionne (HEC Montréal)
  • Gabriel Yergeau (HEC Montréal) 

International Journal of Forecasting


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


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

  • 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


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


Are High-Frequency traders informed

  • P. Anagnostidis (IEF EUROFIDAI)
  • P. Fontaine (EUROFIDAI)
  • C. Varsakelis (UC Louvain)

Economic Modelling


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


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

  • P. Anagnostidis (IEF EUROFIDAI)
  • P. Fontaine (EUROFIDAI)

International Review of Financial Analysis


Financial Transaction Taxes, Market Composition and Liquidity

  • J.E. Colliard (HEC Paris)
  • P. Hoffmann (European Central Bank)

Journal of Finance