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Article
Publication date: 2 March 2015

Fabrizio Ferriani

This paper is aimed to investigate the impact of different categories of traders on price and volume durations at Euronext Paris. The two series are respectively related to the…

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Abstract

Purpose

This paper is aimed to investigate the impact of different categories of traders on price and volume durations at Euronext Paris. The two series are respectively related to the instantaneous volatility and the market liquidity; hence, they are particularly suited to test microstructure hypotheses.

Design/methodology/approach

A Log-autoregressive conditional duration model was adopted to include the information on the traders’ identity at the transaction level. High-frequency data were used and how the informed traders and the liquidity provider affect the arrival of market events was studied. The robustness of our results was also checked by testing different distributions and controlling for microstructure effects.

Findings

It was found that informed traders and the liquidity provider exert a dominant role in accelerating the market activity. This result depends on the state of the market, i.e. it is effective only during periods of high frequency of transactions. The estimates for price durations show that a high instantaneous volatility can be mainly ascribed to a great concentration of informed traders. Informed traders are also found to shorten volume durations by clustering small-size orders to disguise their private signal. For both durations, the liquidity provider is also found to foster the market activity, likely because of his contractual duties.

Originality/value

The article is of interest for researchers in the field of market microstructure, as well as for specialists in the high-frequency trading. Results provide an empirical confirmation of information models which theorize an accelerating effect for informed trading. To the best of the authors’ knowledge, this is the first contribution to study the impact of traders’categories at the transaction level and with different definitions of durations.

Details

Studies in Economics and Finance, vol. 32 no. 1
Type: Research Article
ISSN: 1086-7376

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Book part
Publication date: 12 October 2011

Fabrizio Perretti

In current research on market categories, hybridity (i.e., the association of organizations and/or the products they offer with multiple category memberships) represents an…

Abstract

In current research on market categories, hybridity (i.e., the association of organizations and/or the products they offer with multiple category memberships) represents an important issue with many practical implications, especially for project-based forms of organizations. This chapter explores the evolution of hybridity and the conditions under which different kinds of project-based organizations develop hybrid projects. By studying the feature film industry in the United States from 1920 until 1970, this chapter contrasts the current perspective based on status-organizing processes and suggests that hybridity is a population-level process that can be interpreted as the result of the construction and interplay of different identities, and on the dynamic of the identity dimensions employed by different actors in such effort. The chapter shows that the development and construction of the identity of a temporary organization is different from other types of organizations, and is linked to identification processes both at the organizational level, with the company or with specific individuals in key roles, and at the institutional/collective level, with pure (single-category) and hybrid (multi-category) genres. This chapter highlights the mutual interactions and constraints between these two levels in different life stages of the film industry.

Details

Project-Based Organizing and Strategic Management
Type: Book
ISBN: 978-1-78052-193-0

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Book part
Publication date: 20 January 2022

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Abstract

Details

The Generation, Recognition and Legitimation of Novelty
Type: Book
ISBN: 978-1-80117-998-0

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Book part
Publication date: 12 October 2011

Abstract

Details

Project-Based Organizing and Strategic Management
Type: Book
ISBN: 978-1-78052-193-0

Available. Content available
Book part
Publication date: 17 September 2021

Abstract

Details

Organizing Creativity in the Innovation Journey
Type: Book
ISBN: 978-1-83982-874-4

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Book part
Publication date: 12 October 2011

Andreas Al-Laham has been holding the chair for strategic and international management at the University of Mannheim since September 2009. After his studies of economics and…

Abstract

Andreas Al-Laham has been holding the chair for strategic and international management at the University of Mannheim since September 2009. After his studies of economics and business administration at the Technical University of Dortmund he received his PhD (1996) and Habilitation (2000) degree at the same University, Faculty of Business Administration, Chair of Strategic and International Management. From 2000 to 2002 he worked as a visiting research scholar and visiting professor for strategic management and organizational theory at the J.L. Rotman School of Management, University of Toronto, Canada. Afterward he became professor of international management and business policy at the University of Stuttgart. In 2004 he took a professorship of strategic management at the CASS Business School, City University of London, UK. Up till today, he is visiting professor for General Management and International Strategy. Between 2006 and 2009 he held the chair for management and international strategy at the University of Kaiserslautern. He has written several books, for example! Strategisches Management. Theoretische Grundlagen-Prozesse-Implementierung (together with M. K. Welge), Organisationales Wissensmanagement. Vahlens Handbücher der Wirtschafts- und Sozialwissenschaft, Praxis des strategischen Managements (together with M. K. Welge and P. Kajüter) and Strategieprozesse in deutschen Unternehmungen. His current research focuses on evolutionary dynamics in the German biotech-industry, alliances and network dynamics as well as the internationalization of SME.

Details

Project-Based Organizing and Strategic Management
Type: Book
ISBN: 978-1-78052-193-0

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