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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 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

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

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

volume 184, 108630, November 2019

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

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

International Review of Financial Analysis

DOI 10.1016/j.irfa.2019.101428

Financial Transaction Taxes, Market Composition and Liquidity

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

Journal of Finance

Volume 72, Issue 6, 2685-2716, December 2017