Liquidity dynamics in an electronic open limit order book: An event study approach
P Gomber, U Schweickert… - European Financial …, 2015 - Wiley Online Library
We analyse the dynamics of liquidity in an electronic limit order book using the Exchange
Liquidity Measure (XLM), a measure of the cost of a roundtrip trade of given size V. We use …
Liquidity Measure (XLM), a measure of the cost of a roundtrip trade of given size V. We use …
Market fairness: The poor country cousin of market efficiency
Both fairness and efficiency are important considerations in market design and regulation,
yet many regulators have neither defined nor measured these concepts. We develop an …
yet many regulators have neither defined nor measured these concepts. We develop an …
A worldwide examination of exchange market quality: Greater integrity increases market efficiency
MJ Aitken, FH de B Harris, S Ji - Journal of Business Ethics, 2015 - Springer
We develop a framework for assessing security market quality (MQ), relating five elements of
market design to three metrics of market integrity and two metrics of market efficiency. We …
market design to three metrics of market integrity and two metrics of market efficiency. We …
Fragmentation and Price Discovery: A Comparison of Reg NMS and MiFID1
FHB Harris, TH McInish… - The Journal of …, 2014 - jot.pm-research.com
We study NYSE, NASDAQ, and ARCA prices for DJIA stocks and LSE, Xetra, and Chi-X
prices for five leading British equities. MiFID1 hastened fragmentation but accomplished the …
prices for five leading British equities. MiFID1 hastened fragmentation but accomplished the …
国際金融市場間の競争と互恵効果: 日本・シンガポールの事例分析
志馬祥紀， シマヨシノリ - 国際研究論叢: 大阪国際大学紀要, 2011 - oiu.repo.nii.ac.jp
With the development of global linkage in economy, especially, competition in inter-market is
increasing in international financial/capital sector. In such competition, one of the most …
increasing in international financial/capital sector. In such competition, one of the most …