Mario Bellia

Mario Bellia
European Commission | ec · Joint Research Centre (JRC)

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27
Publications
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Publications

Publications (27)
Article
Full-text available
Banks considered too-big-to-fail (TBTF) tend to benefit from funding cost advantages as their debt is considered implicitly guaranteed by public authorities, even if the latter have undertaken substantial effort to limit TBTF. This paper focuses on the changes in related market perceptions in response to bank regulatory and resolution reform announ...
Article
Full-text available
We examine the strategic behavior of High Frequency Traders (HFTs) during the pre-opening phase and the opening auction of the NYSE-Euronext Paris exchange. HFTs actively participate, and profitably extract information from the order flow. They also post “flash crash” orders, to gain time priority. They make profits on their last-second orders; however...
Article
Full-text available
In this paper we propose a novel approach in analysing the impact of changes in sovereign credit ratings on stock markets. We study the evolution of a segmented form of the stock market index for several crisis-hit countries, including both European and Asian markets. Such evolution is modelled by a homogeneous Markov chain, where the transition pr...
Article
The sovereign-bank nexus played a key role in the 2009-12 European debt crisis by enabling pernicious dynamics whereby governments and domestic banking sectors mutually enfeebled each other. This paper reviews the direct (financial) channels and the indirect (real) channels through which banks and sovereigns interact, and that can give rise to feed...
Book
The report Blockchain Now and Tomorrow brings together research from different units and disciplinary fields of the Joint Research Centre (JRC), the European Commission’s science and knowledge service. It provides multidimensional insights into the state of blockchain technology by identifying ongoing and upcoming transformations in a range of sect...
Book
Full-text available
China’s largest competitive gains vis-à-vis the EU are made in high-tech sectors related to computers and electronics, and electrical and mechanical engineering. China has become a competitor in fast growing high-tech sectors to reduce its reliance on foreign based technologies Sectoral analyses also show a rapid improvement in China’s competitiven...
Article
Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? Using data from NYSE Euronext Paris, we show that an exogenous increase in competition among DMMs leads to a significant decrease in quoted and effective spreads, mainly through a reduction in adverse selection costs. In contrast, changes in incentive...
Book
China is rapidly becoming a major industrial competitor in high-tech and growth sectors. It aims, through the 'Made in China 2025' strategy, to become a world leader in ten key emerging industrial sectors. In these sectors, it strives to strengthen its domestic innovation capacity, to reduce its reliance on foreign technologies while moving up in g...
Article
Full-text available
We study whether the presence of low-latency traders (including high-frequency traders (HFTs)) in the pre-opening period contributes to market quality, defined by price discovery and liquidity provision, in the opening auction. We use a unique dataset from the Tokyo Stock Exchange (TSE) based on server-IDs and find that HFTs dynamically alter their...
Article
We study whether the presence of low-latency traders (including high-frequency traders (HFTs)) in the pre-opening period contributes to price discovery in the subsequent opening call auction and the continuous trading session. Our analysis evokes shades of the debate on the switch from the current continuous auction in many markets to a periodic au...

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Project (1)