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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
Economics & Finance
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)
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
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;
2018
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)
2020
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) <
2020
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)
2019
Order Placement Strategies in High-Frequency Traders
- C. Métais (Institut Europlace de Finance, Paris and LaRGE Research Center, University of Strasbourg)
2020
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)
2022
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)<
2018
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)
2019
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)
2018
Determinants of Implied Volatility Smiles - An Empirical Analysis Using Intraday DAX Equity Options
- A. Rathgeber (University of Augsburg)
- J. Stadler (University of Augsburg)
- M. Ulze (University of Augsburg)
2017
High-Frequency Market Making: Liquidity Provision, Adverse Selection, and Competition
- M. Bellia (Goethe University Frankfurt, Research Center SAFE)
2017
The Role of Pre-Opening Mechanisms in Fragmented Markets
- S. Boussetta (University of Toulouse 1)
- L. Lescourret (ESSEC Business School)
- S. Moinas (Toulouse School of Economics)
2017
Coming Early to the Party: High Frequency Traders in the Pre-Opening Phase and the Opening Auction of NYSE Euronext Paris
- M. Bellia (SAFE - Goethe University Frankfurt)
- L. Pelizzon (SAFE - Goethe University Frankfurt)
- M. G. Subrahmanyam (Leonard N. Stern School of Business - New York University)
- J. Uno (Waseda University Tokyo)
- D. Yuferova (Norwegian School of Economics)
2017
Estimation of Trading Costs: Trade Indicator Models Revisited
- E. Theissen (University of Mannheim)
- S. Zehnder (University of Bonn)
2014