Alexander Veverka's research while affiliated with Wirtschaftsuniversität Wien and other places
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Publications (4)
Recent studies by the Securities and Exchange Commission (SEC) and by academics have provided empirical evi- dence that Nasdaq trade execution costs are still higher than, for instance, on the NYSE. Introducing decimal pricing is one concrete plan to enhance Nasdaqs competitiveness. However, effects of tick size changes are difficult to predict. Fo...
In today's financial world, providing high quality of order execution at low transaction costs is vitally important to the competitiveness of trading platforms; thus the stock market's microstructure has become a subject of fierce debate and models for computing transaction costs have been needed for quite a while. Capital market synergetics is app...
We present an approach capable of modelling the performance of individual agents obeying the rules and regulations of specific stock exchanges, currently of Xetra and of Nasdaq. The activities are governed by the differentiation between the agents' subjective estimates of the stocks' intrinsic values and the price quotations observable at markets,...
Abstract Werely on Frankfurt’s hybrid trading system Xetra to consider the issue of a stock market’s optimal design. Xetra’s hybrid trading structure entails different features: call auctions, continuous trading as well ,as market ,maker ,mechanism. ,In this paper we investigate ,the frequency of periodic call auctions and the specific regulations...
Citations
... This process is often referred to as decimalization (Gibson et al. 2003;He and Wu 2004;Chung et al. 2004; G. Curato Scuola Normale Superiore, Pisa, Italy e-mail: gianbiagio.curato@sns.it Loistl et al. 2004;U.S. Securities and Exchange Commission 2012). The current tick size for stocks traded in US stock exchanges, such as the New York Stock Exchange (NYSE) or the National Association of Securities Dealers Automated Quotations (NASDAQ), is typically $0.01. ...
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