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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;

Does a pre-open matter in fragmented markets?

  • S. Boussetta (University of Bordeaux)
  • L. Daures-Lescourret (ESSEC Business School)
  • S. Moinas (Toulouse School of Economics)

Investigation Into Machine Learning Models for Predicting Stock Price and Spread Movements From News Articles

  • Pontus Wistbacka (Hanken School of Economics)
  • Samuel Rönnqvist (Åbo Akademi University - Turku Centre for Computer Science (TUCS))
  • Katia Vozian (Hanken School of Economics - Helsinki Graduate School of Economics)
  • Satchit Sagade (Goethe University Frankfurt - Department of Finance; Leibniz Institute for Financial Research SAFE)
  • <

A Tale of Two Cities - Inter-Market Latency, Market Integration, and Market Quality

  • Satchit Sagade (Goethe University Frankfurt - Department of Finance; Leibniz Institute for Financial Research SAFE)
  • Stefan Scharnowski (University of Mannheim)
  • Erik Theissen (University of Mannheim - Finance Area)
  • Christian Westheide (University of Vienna - Department of Finance; Leibniz Institute for Financial Research SAFE)

Order Placement Strategies in High-Frequency Traders

  • C. Métais (Institut Europlace de Finance, Paris and LaRGE Research Center, University of Strasbourg)

Paying for Market Liquidity: Competition and Incentives

  • M. Bellia (Goethe University Frankfurt - Research Center SAFE)
  • L. Pelizzon (Goethe University Frankfurt - Faculty of Economics and Business Administration)
  • M.G. Subrahmanyam (New York University (NYU)Departement of Finance)
  • D. Yuferova (Norwegian School of Economics (NHH) - Department of Finance)

High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame?

  • M. Bellia (Goethe University Frankfurt - Research Center SAFE)
  • K. Christensen(University of Aarhus - CREATES)
  • A. Kolokolov (Goethe University Frankfurt - Research Center SAFE)
  • L. Pelizzon (Goethe University Frankfurt - Faculty of Economics and Business Administration)
  • R. Reno (Department of Economics, University of Verona)<

Fragmentation and the Price Discovery Dynamics: The Contributions of Multilateral Trading Facilities and Regulated Market

  • R. Gillet (Université Paris 1 Panthéon-Sorbonne)
  • S. Ligot (Université Paris 1 Panthéon-Sorbonne)

The Equity Market and Its Price Discovery Risk: An Empirical Study for the CAC40 Stock Market Index

  • R. Gillet (Université Paris 1 Panthéon-Sorbonne)
  • S. Ligot (Université Paris 1 Panthéon-Sorbonne)