BV-VPIN: Measuring the Impact of Order Flow Toxicity and Liquidity on International Equities Markets

2016 ◽  
Author(s):  
Rand Kwong Yew Low ◽  
Te Li ◽  
Terry Marsh
Keyword(s):  
Order Flow ◽  
International Equities ◽  
The Impact

Linear models for the impact of order flow on prices. I. History dependent impact models

2018 ◽  
Vol 18 (6) ◽  
pp. 903-915 ◽  
Author(s):  
Damian Eduardo Taranto ◽  
Giacomo Bormetti ◽  
Jean-Philippe Bouchaud ◽  
Fabrizio Lillo ◽  
Bence Tóth
Keyword(s):  
Linear Models ◽  
Order Flow ◽  
The Impact ◽  
Impact Models

scholarly journals Interactions among High-Frequency Traders

2017 ◽  
Vol 52 (4) ◽  
pp. 1375-1402 ◽  
Author(s):  
Evangelos Benos ◽  
James Brugler ◽  
Erik Hjalmarsson ◽  
Filip Zikes
Keyword(s):  
High Frequency ◽  
Comparison Group ◽  
Equity Market ◽  
Price Impact ◽  
Investment Banks ◽  
Order Flow ◽  
Trading Activity ◽  
Price Efficiency ◽  
Price Pressure ◽  
The Impact

Using unique transactions data for individual high-frequency trading (HFT) firms in the U.K. equity market, we examine the extent to which the trading activity of individual HFT firms is correlated with each other and the impact on price efficiency. We find that HFT order flow, net positions, and total volume exhibit significantly higher commonality than those of a comparison group of investment banks. However, intraday HFT order flow commonality is associated with a permanent price impact, suggesting that commonality in HFT activity is information based and so does not generally contribute to undue price pressure and price dislocations.

scholarly journals Linear Models for the Impact of Order Flow on Prices I. Propagators: Transient vs. History Dependent Impact

2016 ◽  
Author(s):  
Damian Eduardo Taranto ◽  
Giacomo Bormetti ◽  
Jean-Philippe Bouchaud ◽  
Fabrizio Lillo ◽  
Bence Toth
Keyword(s):  
Linear Models ◽  
Order Flow ◽  
The Impact

scholarly journals Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model

2018 ◽  
Vol 18 (6) ◽  
pp. 917-931 ◽  
Author(s):  
Damian Eduardo Taranto ◽  
Giacomo Bormetti ◽  
Jean-Philippe Bouchaud ◽  
Fabrizio Lillo ◽  
Bence Tóth
Keyword(s):  
Linear Models ◽  
Distribution Model ◽  
Order Flow ◽  
Transition Distribution ◽  
The Impact

Bullish/Bearish Strategies of Trading: A Nonlinear Equilibrium

2004 ◽  
Vol 39 (4) ◽  
pp. 873-886 ◽  
Author(s):  
Ramdan Dridi ◽  
Laurent Germain
Keyword(s):  
Empirical Evidence ◽  
Financial Market ◽  
Private Information ◽  
Information Structure ◽  
Risky Asset ◽  
Order Flow ◽  
Risk Neutral ◽  
Nonlinear Equilibrium ◽  
The Impact ◽  
Exact Amount

AbstractWe study a financial market where risk-neutral traders are endowed with a signal that perfectly reveals the direction (but not the exact amount) of the liquidation value of a normally distributed risky asset. The impact of order flow on prices is nonlinear with a bullish/bearish information structure, which is broadly consistent with empirical evidence. Also, private information is revealed quicker than in a strategic oligopoly.

Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate

2012 ◽  
Vol 47 (4) ◽  
pp. 821-849 ◽  
Author(s):  
Albert J. Menkveld ◽  
Asani Sarkar ◽  
Michel van der Wel
Keyword(s):  
Order Flow ◽  
Futures Trading ◽  
Customer Order ◽  
Open Outcry ◽  
Risk Free Rate ◽  
The Impact ◽  
Free Rate ◽  
Treasury Futures

AbstractMacro announcements change the equilibrium risk-free rate. We find that Treasury prices reflect part of the impact instantaneously, but intermediaries rely on their customer order flow after the announcement to discover the full impact. This customer flow informativeness is strongest when analyst macro forecasts are most dispersed. The result holds for 30-year Treasury futures trading in both electronic and open-outcry markets. We further show that intermediaries benefit from privately recognizing informed customer flow, as their own-account trading profitability correlates with customer order access.

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