Publikationen
Monographien/Herausgeberschaften |
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Financial Markets and Public Information. KIT Scientific Publishing. Available at: click here |
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Begutachtete Beiträge in Fachzeitschriften |
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Public Information Arrival: Price Discovery and Liquidity in Electronic Limit Order Markets. Journal of Banking and Finance 37(4). 1148–1159. doi:10.1016/j.jbankfin.2012.11.008 http://www.sciencedirect.com/science/article/pii/S037842661200355X |
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Latency, Liquidity and Price Discovery. Journal of Financial Markets 15(4). 416–437. doi:10.1016/j.finmar.2012.05.003 |
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Public Information in Fragmented Markets. Journal of Financial Markets and Portfolio Management 26(2). 179–215. doi:10.1007/s11408-012-0185-2 |
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Begutachtete Beiträge in Konferenz- und Sammelbänden |
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The Impact of Economic News on Information and Liquidity in Electronic Futures Trading. in: Dreier, T.; Krämer, J.; Studer, R.; Weinhardt, C. (eds.), Information Management and Market Engineering: Vol II. Studies on eOrganisation and Market Engineering. KIT Scientific Publishing. 37–54. Available at: click here |
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The Quality of Electronic Markets. Proceedings of the Forty-Fourth Annual Hawaii International Conference on System Sciences. (Koloa, Kauai, Hawaii). 1–10. doi:http://doi.ieeecomputersociety.org/10.1109/HICSS.2011.426 |
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A Software Framework for a News Event Driven Simulation of Algorithmic Trading Strategies. Proceedings of the Multikonferenz Wirtschaftsinformatik (MKWI) 2010. (Göttingen, Germany). 1871–1882. Available at: click here |
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The Effect of Automated Trading on Market Quality: Evidence from the New York Stock Exchange. in: Kundisch, D.; Veit, D. J.; Weitzel, T.; Weinhardt, C. (eds.), FinanceCom 2008, LNBIP 23. Springer Verlag. 11–30. http://www.springerlink.com/content/q470h64156j21082/ |
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Sonstige Konferenzbeiträge (Auswahl) |
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Short Selling in Prediction Markets. Proceedings of the 11th Group Decision and Negotiation Conference (GDN), Extended Abstract. |
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Sonstige Veröffentlichungen |
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Research on Competition and Regulation in European Equities Trading: An Executive Summary. White Paper. http://ssrn.com/abstract=1626105 |
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A Software Framework for a News Event Driven Simulation of Algorithmic Trading Strategies. Banking and Information Technology 11(1). 45–53. Reprint of contribution presented at MKWI 2010. https://www.ibi-shop.de/product_info.php?cPath=25_113&products_id=511 |
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Arbeitspapiere |
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International Stock Market Comovement and News. Working Paper. |
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Do we need a European "National Market System''? Competition, arbitrage, and suboptimal executions. Previous title: European Market Integrity: Regulating Equity Trading in Fragmented Markets; Presented at the Stuttgart Stock Exchange Research Colloquium, Presented at the 2011 European Financial Management Association Meeting, Accepted for presentation at the 28th International Conference of the French Finance Association, Presented at the 12th Symposium on Finance, Banking, and Insurance, Presented at the Conference of the Swiss Society for Financial Market Research (SGF) 2012. http://ssrn.com/abstract=1760778 |
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Public Information Arrival: Price Discovery and Liquidity in Electronic Limit Order Markets. Presented at the Northern Finance Association Meeting 2010, Presented at HEC Montréal. http://ssrn.com/abstract=1620425 |
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Do Multilateral Trading Facilities Contribute to Market Quality?. Previous title: Fragmentation, Competition and Market Quality: A Post-MiFID Analysis; Presented at the 2nd Center for Financial Studies International Conference: The Industrial Organisation of Securities Markets: Competition, Liquidity and Network Externalities, Presented at the 2010 European Financial Management Association Meeting, Presented at the Doctoral Symposium of the 3rd Erasmus Liquidity Conference, Presented at the 17th Annual Meeting of the German Finance Association (DGF), Presented at the Campus for Finance Research Conference, 2011. http://papers.ssrn.com/abstract_id=1852769 |