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Retail Order Flow Segmentation
The Journal of Trading, 2018In August 2012, the New York Stock Exchange launched the Retail Liquidity Program (RLP), a trading facility that enables participating organizations to quote dark limit orders executable only by retail traders. A Hasbrouck (1991) structural vector autoregression shows that the facility increased the information content of the order flow by ...
Garriott, Corey, Walton, Adrian
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SSRN Electronic Journal, 2008
We provide new evidence on the relation between order flow and prices, an issue that is central to asset pricing and market microstructure. We examine proprietary data on a broad panel of NYSE-listed stocks that reveal daily order imbalances by institutions, individuals, and market makers.
Ekkehart Boehmer, Juan (Julie) Wu
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We provide new evidence on the relation between order flow and prices, an issue that is central to asset pricing and market microstructure. We examine proprietary data on a broad panel of NYSE-listed stocks that reveal daily order imbalances by institutions, individuals, and market makers.
Ekkehart Boehmer, Juan (Julie) Wu
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Quotes, Order Flow, and Price Discovery
The Journal of Finance, 1997ABSTRACTThe goal of this article is to examine the impact of 1975 Congressional mandate to integrate the trading of NYSE‐listed stocks. The conclusions are: most of the time, the New York Stock Exchange (NYSE) quote matches or determines the best displayed quote, and the NYSE is the most frequent initiator of quote changes.
Blume, Marshall E, Goldstein, Michael A
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Order flow and volatility: An empirical investigation
Journal of Empirical Finance, 2014We study the relationship between order flow and volatility. To this end we develop a comprehensive framework that simultaneously controls for the effects of macro announcements and order flow on prices and the effect of macro announcements on volatility. Using high-frequency 30-year U.S.
Opschoor, Anne +3 more
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2020 American Control Conference (ACC), 2020
We consider the Linear-Quadratic-Regulator (LQR) problem in terms of optimizing a real-valued matrix function over the set of feedback gains. Such a setup facilitates examining the implications of a natural initial-state independent formulation of LQR in designing first order algorithms.
Jingjing Bu +2 more
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We consider the Linear-Quadratic-Regulator (LQR) problem in terms of optimizing a real-valued matrix function over the set of feedback gains. Such a setup facilitates examining the implications of a natural initial-state independent formulation of LQR in designing first order algorithms.
Jingjing Bu +2 more
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Retail Order Flow Segmentation
SSRN Electronic Journal, 2016In August 2012, the New York Stock Exchange launched the Retail Liquidity Program (RLP), a new trading facility that enables participating organizations to quote dark limit orders available only to retail traders. The facility increased the information content of the order flow by distinguishing retail trades from relatively more informed trades ...
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AIP Conference Proceedings, 2015
Order flow is toxic when it adversely selects market makers who may be unaware that they are providing liquidity at a loss. In [10] the VPIN metric as an estimator of order flow toxicity based on volume imbalance and trade intensity was introduced. Here another basic procedure to measure order flow toxicity based on all available information about ...
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Order flow is toxic when it adversely selects market makers who may be unaware that they are providing liquidity at a loss. In [10] the VPIN metric as an estimator of order flow toxicity based on volume imbalance and trade intensity was introduced. Here another basic procedure to measure order flow toxicity based on all available information about ...
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Order flow and exchange rate comovement
Journal of International Money and Finance, 2017Abstract This paper extends the literature on the linkage between order flows and exchange rates from the univariate to the multivariate framework. We examine how order flow differentials drive exchange rate comovements using data on five major exchange rates and at three different intraday frequencies.
Vincent Kleinbrod, Xiaoming Li
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Second Order Variational Optic Flow Estimation
2007In this paper we present a variational approach to accurately estimate the motion vector field in a image sequence introducing a second order Taylor expansion of the flow in the energy function to be minimized. This feature allows us to simultaneously obtain, in addition, an estimation of the partial derivatives of the motion vector field.
Alvarez, L. +6 more
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Shear flow near solids: Epitaxial order and flow boundary conditions
Physical Review A, 1990We report on molecular-dynamics simulations of Lennard-Jones liquids sheared between two solid walls. The velocity fields, flow boundary conditions, and fluid structure were studied for a variety of wall and fluid properties. A broad spectrum of boundary conditions was observed including slip, no-slip, and locking.
, Thompson, , Robbins
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