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Titre clair et concis du tableau17 April 2019 | News | The AMF's Scientific Advisory Board dedicated a session to market microstructure on Jan 18th 2019 Selma Boussetta (Bordeaux University, winner of the 2018 AMF Young researcher award) presented her ongoing research on the role of pre-opening mechanisms in fragmented markets – a joint study with Laurence Lescourret (ESSEC) and Sophie Moinas (TSE). Moreover, Charles-Albert Lehalle (Capital Fund Management and Imperial College) presented a summary… … Scientific Advisory Board dedicated a session to market microstructure on Jan 18th 2019 … The role of pre-opening … on Corporate Bonds and Best Execution Analysis Market Microstructure in Practice Selma Boussetta (Bordeaux … Scientific Advisory Board dedicated a session to market microstructure on Jan 18th 2019 … … |
01 July 2021 | AMF news release | The AMF has published an impact analysis on the liquidity of French equity options following the introduction of a speed bump on the Eurex trading venue This study analyses changes in the liquidity of French equity options following the implementation of a speed bump on Eurex, the German derivatives market, in June 2019. Based on transaction data between January and December 2019, the AMF has noted the beneficial effects of such a mechanism, with improved spreads and increased depth at the best… … of a speed bump on the Eurex trading venue … Equity … Microstructure … Derivatives or structured products … |
01 July 2021 | Report / study | Effect of Speed Bumps: Analysis of the Impact of the Implementation of Eurex's Passive Liquidity Protection on French Equity Options This study analyzes the evolution of liquidity in French equity options following the implementation of a speed bump on Eurex, the German derivatives market, in June 2019. Using transaction data between January and December 2019, the AMF proposes a series of econometric analyses to account for its impact on Eurex and on Euronext. … Liquidity Protection on French Equity Options … Markets … Microstructure … Derivatives or structured products … |
01 July 2021 | Report / study | Characteristics of the French Equity Options Market Based on transaction data gathering all transactions and characteristics of French options between January and December 2019, the AMF proposes a description of the characteristics of this market at the time of the implementation of a speed bump by the German platform Eurex. … of the French Equity Options Market … Markets … Microstructure … Derivatives or structured products … |
12 March 2019 | Report / study | Analysis of the aggressive behaviour of market participants: do HFTs trade opportunely? This microstructure study analyses the market participants 'aggressive' orders on the most liquid stocks on Euronext Paris during a 3 months period, from September 2017 to November 2017. The aim of this work is on the one hand to quantify the impact of these orders on price formation, and on the other to estimate the informational advantage of… … do HFTs trade opportunely? … Télécharger le contenu This microstructure study analyses the market participants … … This microstructure study analyses the market participants … trade opportunely? … Risk and Trend Mapping … Markets … Microstructure … |
26 January 2017 | Report / study | Study of the behaviour of high-frequency traders on Euronext Paris This study presents a descriptive summary of the trading behaviour of High Frequency Traders and liquidity providers on the most liquid stocks on Euronext Paris during a 9 months' time period from November 2015 to August 2016. The objective of the work carried out by the AMF is to analyse the liquidity provision, liquidity consumption and presence… … on Euronext Paris … Risk and Trend Mapping … Markets … Microstructure … |
28 February 2022 | Report / study | Short selling ban impact – a comparison of the French and the Dutch markets In this study, the Autorité des marchés financiers (AMF) and its Dutch counterpart, the Autoriteit Financiële Markten (AFM), examine the effects of the temporary ban on French stocks in March 2020 by comparing their respective markets. In analysing returns, volatility, trading volumes and transaction costs, the study shows that the ban had mixed… … French and the Dutch markets … Short selling … Equity … Microstructure … Financial Crisis … |
15 February 2019 | Report / study | MiFID II: Impact of the new tick size regime after several months of implementation After an initial study carried out just after the implementation of the harmonised tick size regime in Europe on 3 January 2018, further to the new Markets in Financial Instruments framework (MiFID 2), the Autorité des Marchés Financiers has published an analysis carried out over a longer period including phases of greater volatility. This new… … … Risk and Trend Mapping … Markets … MIFID … Microstructure … |
27 March 2018 | Report / study | MiFID II: Impact of the New Tick Size Regime The AMF publishes an initial analysis of the impact of the new tick size regime on the French market. Market depth, transaction cost, order lifespan, order-to-trade ratio: the Autorité des marchés financiers has reviewed the initial effects of the European harmonised tick size regime, resulting from the new MiFID II framework for markets in… … Size Regime … Risk and Trend Mapping … Markets … MIFID … Microstructure … |
21 July 2010 | Report / study | Working Papers No 8 - Post MIFiD developments in equity market liquidity … liquidity … Scientific Advisory Board … Equity … MIFID … Microstructure … |
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