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Proprietary algorithmic traders and liquidity supply during the pandemic
(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 ...
The origin of return correlation networks
(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? ...