TY  - JOUR
A1  - Groth, Sven S.
A1  - Siering, Michael
A1  - Gomber, Peter
T1  - Forecasting news-related liquidity shocks: extracting signals from unstructured data
T2  - EFL quarterly : an E-Finance Lab publication
N2  - TO DERIVE OPTIMAL ORDER EXECUTION STRATEGIES THAT STRIVE TO MINIMIZE TRANSACTION COSTS, INVESTORS AS WELL AS AUTOMATED TRADING ENGINES MUST BE ABLE TO ANTICIPATE CHANGES IN THE AVAILABLE MARKET LIQUIDITY. BASED ON AN EVENT STUDY ON THE LIQUIDITY IMPACT OF AD-HOC DISCLOSURES, WE PROPOSE A NOVEL IT ARTIFACT THAT ALLOWS AUTOMATED TRADING ENGINES TO APPROPRIATELY REACT TO NEWS-RELATED LIQUIDITY SHOCKS. FURTHERMORE, WE PROVIDE A SIMULATIONBASED EVALUATION THAT SHOWS ITS ECONOMIC RELEVANCE.
Y1  - 2015
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/57973
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-579735
SN  - 1866-1238
VL  - 2015
IS  - 1
SP  - 6
EP  - 8
PB  - E-Finance Lab e.V.
CY  - Frankfurt am Main
ER  -