Browsing Journal Articles by Author "Banerjee, Anirban"
Now showing items 1-4 of 4
-
High-frequency traders’ evolving role as market makers
Banerjee, Anirban; Roy, Prince (Elsevier, 2023-10-12)The current academic literature on HFTs considers them as the present-day de facto market makers. We show that HFT trading strategies have moved away from passive market-making over time. We explore the role of regulatory ... -
High-frequency traders’ evolving role as market makers
Banerjee, Anirban; Roy, Prince (Elsevier, 2023-10-12)The current academic literature on HFTs considers them as the present-day de facto market makers. We show that HFT trading strategies have moved away from passive market-making over time. We explore the role of regulatory ... -
The origin of return correlation networks
Banerjee, Anirban; Chakrabarti, Arnab; Chakrabarti, Anindya S (Oxford University Press, 2024-04-05)Financial networks are constructed from asset price comovements. There is a large literature that takes these networks as given, for example, for portfolio optimization. But what exactly is the origin of these networks? ... -
Proprietary algorithmic traders and liquidity supply during the pandemic
Banerjee, Anirban; Nawn, Samarpan (Elsevier, 2024-01-25)This study documents the liquidity-supplying behavior of proprietary algorithmic traders during the abrupt and sustained market decline caused by the COVID-19 outbreak. The findings suggest that these endogenous liquidity ...