The project deals with transaction costs, volatility and liquidity issues on the XETRA trading system, the German electronic system of automated auction market making. One of the key areas of investigation consists in studying how transaction costs and volatility influence market liquidity. We also review and evaluate different liquidity risk measures that may be adapted to the specificities of automated auction market making systems. Broadly speaking, this project aims to take into account the microstucture idiosyncracies of automated auction market making systems.
|Effective start/end date||1/09/01 → 31/12/10|
- market microstructure