European trading volumes on cross-market holidays
- Submitting institution
-
University College London
- Unit of assessment
- 11 - Computer Science and Informatics
- Output identifier
- 14522
- Type
- D - Journal article
- DOI
-
10.1002/ijfe.1643
- Title of journal
- International Journal of Finance and Economics
- Article number
- -
- First page
- 675
- Volume
- 23
- Issue
- 4
- ISSN
- 1076-9307
- Open access status
- Compliant
- Month of publication
- July
- Year of publication
- 2018
- URL
-
-
- Supplementary information
-
-
- Request cross-referral to
- -
- Output has been delayed by COVID-19
- No
- COVID-19 affected output statement
- -
- Forensic science
- No
- Criminology
- No
- Interdisciplinary
- Yes
- Number of additional authors
-
2
- Research group(s)
-
-
- Citation count
- 0
- Proposed double-weighted
- No
- Reserve for an output with double weighting
- No
- Additional information
- This project reports on research conducted in conjunction with Deutsche Bank, where Dr Hesse was Head of Algorithmic Trading. it investgated an area previously discussed extensively, but never formally researched, of the affect of events such as national holidays on trading volumes. The work has been incorporated in DB’s trading system and is used extensively for investment. In addition, Dr Hesse then moved to the major investment firm Citadel and the research was incorporated in their trading systems. The PhD researcher Dr Bogdan Batrinca subsequently moved to Bloomberg where he has leveraged this research into Bloomberg’s data analytics platform.
- Author contribution statement
- -
- Non-English
- No
- English abstract
- -