Refine
Document Type
- Working Paper (3)
- Book (1)
Has Fulltext
- yes (4)
Is part of the Bibliography
- no (4)
Keywords
- speed bump (2)
- Market microstructure (1)
- Mini-flash crash (1)
- Russian Jewry (1)
- dark trading (1)
- financial market stability (1)
- investor protection (1)
- midpoint extended life order (1)
- mini-flash crash (1)
Non-standard errors
(2021)
In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in sample estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty: non-standard errors. To study them, we let 164 teams test six hypotheses on the same sample. We find that non-standard errors are sizeable, on par with standard errors. Their size (i) co-varies only weakly with team merits, reproducibility, or peer rating, (ii) declines significantly after peer-feedback, and (iii) is underestimated by participants.
The period discussed in this work can be defined with absolute precision: it started on June 3, 1907, when the second Duma was dispersed, and ended on July 19, 1914 (August 1 in the Gregorian calendar), when the war against Germany and Austro-Hungary was proclaimed. This period followed right after the first Russian Revolution, which altered the regime: from unlimited autocracy it became half-parliamentary. Although the revolution was aborted and the tsarist government regained control, several important features characterized the period of 1907- 1914. First of all, there was the very existence of the State Duma – the elected lower house of the Parliament with legislative power; second, the establishment of voluntary associations was eased; third, preliminary censorship was abolished. Thus, public life was characterized by a degree of freedom, such as had never existed in Russia before 1905 and would not exist after October 1917. However, the freedom was relative and very narrow; the government tracked all oppositional or near-oppositional activities and did not hesitate to stop them. The basic tension and mutual suspicion between the authorities and society remained intact and eventually brought the collapse of the regime in 1917. But the revolution of February 1917 was not inevitable. In the period under discussion the interest in politics drastically declined, the Russian political forces became more moderate and the majority sought evolution, rather then revolution as the mechanism for change. ...
Is it true that speed bumps level the playing field, make financial markets more stable and reduce negative externalities of high-frequency trading (HFT) firms? We examine how the implementation of a particular speed bump – Midpoint Extended Life order (M-ELO) on Nasdaq impacted financial markets stability in terms of occurrences of mini-flash crashes in individual securities. We use high-frequency order book message data around the implementation date and apply difference-in-differences analysis to estimate the average treatment effect of the speed bump on market stability and liquidity provision. The results suggest that the introduction of the M-ELO decreases the average number of crashes on Nasdaq compared to other exchanges by 4.7%. Liquidity provision by HFT firms also improves. These findings imply that technology-based solutions by exchanges are feasible alternatives to regulatory intervention towards safer markets.
This paper examines how the implementation of a new dark order - Midpoint Extended Life Order on NASDAQ - impacts financial markets stability in terms of occurrences of mini-flash crashes in individual securities. We use high-frequency order book data and apply panel regression analysis to estimate the effect of M-ELO trading on market stability and liquidity provision. The results suggest a predominance of a speed bump effect of M-ELO rather than a darkness effect. We find that the introduction of M-ELO increases market stability by reducing the average number of mini-flash crashes, but its impact on market quality is mixed.