2018
Clapham, B. (2018)
Is There a Magnet Effect of Rule-Based Circuit Breakers in Times of High-Frequency Trading?
In: Working Paper; presented at the 6th Paris Financial Management Conference (PFMC 2018); Paris, France
Category: Working papers
AbstractThis paper studies whether rule-based circuit breakers in the form of short-lived volatility interruptions exhibit a magnet effect in times of high-frequency trading. Based on a sample of 3,271 volatility interruptions on two major European venues, we analyze whether trading aggressiveness, trading activity, and volatility accelerate close to volatility interruptions indicating a magnet effect. Although the duration of the interruptions is meaningful given today's high-frequent securities markets, we do not find any evidence for a magnet effect. Rather, our results show that trading aggressiveness, trading activity, and volatility gradually slow down towards the triggering threshold and that price changes even revert in case of downward-triggered interruptions. These findings hold both for different levels of high-frequency trading activity and for disclosed and undisclosed price limits triggering the circuit breaker.
Reference No.: 2018-2022
Siering, M. (2018)
The Economics of Stock Touting during Internet-Based Pump and Dump Campaigns
In: Information Systems Journal (forthcoming)
Category: Publications in scientific journals [Find it]
AbstractInformation systems have facilitated the increase in relevance of financial markets. Nevertheless, the rise of the Internet has eased information-based financial market manipulations. In this study, we examine the phenomenon of stock touting during pump and dump campaigns, in which deceivers advertise stocks to profit from an increased price level. We observe that the positive prospects promised are not confirmed by corporate disclosures and financial news. Furthermore, manipulators select targeted financial instruments based on specific stock and company characteristics. Manipulators avoid signals of anomaly and prefer unknown stocks. We find that stock touting has a positive market impact but that it is followed by a large decline in stock price in the subsequent days, causing investors to lose substantial amounts of their investments. We consider the impact of information generation, information content and information presentation on the corresponding market reaction. Interestingly, information generation influences the demand for the stock, but information content and information presentation drive the willingness to pay. Our results are highly relevant for Internet users, software vendors and market surveillance authorities, as a deep understanding of such information-based manipulations is necessary to develop appropriate countermeasures.
Reference No.: 2018-203
Koch, J.; Lausen, J.; Kohlhase, M. (2018)
Towards Internalizing the Externalities of Overfunding - Introducing a 'Tax' on Crowdfunding Platforms
In: Proceedings of the 26th European Conference on Information Systems (ECIS 2018); Portsmouth, UK
Category: Proceedings [Find it]
AbstractCrowdfunding platforms offer project initiators the opportunity to acquire monetary resources from the Internet crowd and therefore have become a valuable alternative to traditional sources of funding. However, some processes on crowdfunding platforms cause undesirable external effects that influence the funding success of projects. In this context, we focus on the phenomenon of project overfunding. Massively overfunded projects have been discussed to overshadow other crowdfunding projects which in turn receive less money. We propose a taxation mechanism to internalize these overfunding externalities and to improve overall funding results. To evaluate this concept, we develop and deploy a sophisticated agent-based model (ABM). This ABM is based on a multi-attribute decision-making (MADM) approach and is appropriate to simulate the dynamic funding processes of a crowdfunding platform. Our evaluation provides evidence that possible modifications of the crowdfunding mechanisms bear the chance to optimize funding results and to alleviate existing flaws.
Reference No.: 2018-193
Wunderlich, N. (2018)
Exterminate ? - Who Influences IT Alignment and Digital Business Strategy
In: Proceedings of the 26th European Conference on Information Systems (ECIS 2018); Portsmouth, UK
Category: Proceedings [Find it]
Reference No.: 2018-192
Janze, C.; Gvozdevskiy, I. (2018)
Competitive Forces in the Cryptocurrency Exchange Landscape
In: EFL Quarterly, 2/2018; Frankfurt am Main
Category: Miscellaneous [Find it]
Reference No.: 2018-191
Gomber, P.; Clapham, B.; Panz, S. (2018)
Management of Market Price Risks: Regulation and Coordination of Volatility Interruptions in Europe
In: FIRM Yearbook 2018, pp. 167-168; Association for Risk Management and Regulation, Frankfurt
Category: Miscellaneous [Find it]
Reference No.: 2018-190
Groß, G.; Gomber, P.; Lausen, J.; Clapham, B. (2018)
Regulatory Reporting Solutions: (Mehr-)Wert aus regulatorischen Verpflichtungen schaffen
In: Handbuch Finanzinformationen: Der digitale Wandel und die naechste Generation von Finanzinformationssystemen, pp. 227-248, Eds.: A. Eisenhofer and K. Brooimans; FinanzBuch Verlag, Munich
Category: Chapter in book [Find it]
Reference No.: 2018-189
Gomber, P.; Clapham, B.; Lausen, J.; Panz, S. (2018)
The Impact of MiFID II/MiFIR on European Market Structure: A Survey among Market Experts
In: The Journal of Trading, Vol. 13, No. 2, pp. 35-46
Category: Publications in journals [Find it]
AbstractThis study presents the views of leading financial market experts concerning the impact of MiFID II/MiFIR on the European market structure and the future relative importance of different types of trading venues and over-the-counter (OTC) trading. In an online questionnaire among experts on trading and/or market structure, 111 respondents shared their opinions concerning the impact of the MiFIR trading obligation, dark pool volume caps, the new trading venue category organized trading facility (OTF) for non-equities, and the impact of Brexit.
Reference No.: 2018-186
Gomber, P.; Clapham, B.; Lausen, J.; Panz, S. (2018)
The MiFIR Trading Obligation: Impact on Trading Volume and Liquidity
In: Working Paper; presented at the 35th Annual Conference of the French Finance Association (AFFI 2018); Paris, France
Category: Working papers [Find it]
AbstractThe new financial market regulation MiFID II / MiFIR will fundamentally change the trading and market infrastructure landscape in Europe. One key aspect is the trading obligation for shares that intends to restrict over-the-counter (OTC) trading to ensure that more trading takes place on regulated trading venues and on platforms of Systematic Internalisers (SIs). In this context, market observers often argue that SIs might have a competitive advantage due to the best execution concept in combination with the possible exemption of SIs from the tick size regime. Applying scenario analysis, we determine the likely migration of OTC trading volume to regulated trading venues and SIs. Based on our data set, covering intraday data including OTC trades as well as order book snapshots of EURO STOXX 50 constituents on major European venues, we investigate how changes in trading volume influence liquidity on lit markets. The results of our scenario analysis indicate that liquidity on lit markets might increase due to additional turnover formerly traded OTC. However, also a negative liquidity effect for lit markets and for the price discovery process is possible because of increased trading via SIs.
Reference No.: 2018-185
Siering, M.; Muntermann, J.; Rajagopalan, B. (2018)
Explaining and Predicting Online Review Helpfulness: The Role of Content and Reviewer-Related Signals
In: Decision Support Systems, Vol. 108, pp. 1-12
Category: Publications in scientific journals [Find it]
AbstractOnline reviews provide information about products and services valuable for consumers in the context of purchase decision making. Online reviews also provide additional value to online retailers, as they attract consumers. Therefore, identifying the most-helpful reviews is an important task for online retailers. This research addresses the problem of predicting the helpfulness of online product reviews by developing a comprehensive research model guided by the theoretical foundations of signaling theory. Thereby, our research model posits that the reviewer of a product sends signals to potential buyers. Using a sample of Amazon.com product reviews, we test our model and observe that review content-related signals (i.e., specific review content and writing styles) and reviewer-related signals (i.e., reviewer expertise and non-anonymity) both influence review helpfulness. Furthermore, we find that the signaling environment affects the signal impact and that incentives provided to reviewers influence the signals sent. To demonstrate the practical relevance of our results, we illustrate by means of a problem-specific evaluation scenario that our model provides superior predictions of review helpfulness compared to earlier approaches. Furthermore, we provide evidence that the proposed evaluation scenario provides deeper insights than classical performance metrics. Our findings are highly relevant for online retailers seeking to reduce information overload and consumers' search costs as well as for reviewers contributing online product reviews.
Reference No.: 2018-184
Gomber, P.; Zimmermann, K. (2018)
Algorithmic Trading in Practice
In: The Oxford Handbook of Computational Economics and Finance; Oxford University Press
Category: Chapter in book [Find it]
AbstractThe use of computer algorithms in securities trading, or algorithmic trading, has become a central factor in modern financial markets. The desire for cost and time savings within the trading industry spurred buy side as well as sell side institutions to implement algorithmic services along the entire securities trading value chain. This chapter encompasses this algorithmic evolution, highlighting key cornerstones in it development discussing main trading strategies, and summarizing implications for overall securities markets quality. In addition, it touches on the contribution of algorithmic trading to the recent market turmoil, the U.S. Flash Crash, including the discussions of potential solutions for assuring market reliability and integrity.
Reference No.: 2018-7
Siering, M.; Deokar, A.; Janze, C. (2018)
Disentangling Consumer Recommendations: Explaining and Predicting Airline Recommendations Based on Online Reviews
In: Decision Support Systems; Vol. 107, pp. 52-63
Category: Publications in scientific journals [Find it]
AbstractConsumer recommendations of products and services are important performance indicators for organizations to gain feedback on their offerings. Furthermore, they are important for prospective customers to learn from prior consumer experiences. In this study, we focus on user-generated content, in particular online reviews, to investigate which service aspects are evaluated by consumers and how these factors explain a consumer's recommendation. Further, we investigate how recommendations can be predicted automatically based on such user-driven responses. We disentangle the recommendation decision by performing explanatory and predictive analyses focusing on a sample of airline reviews. We identify core and augmented service aspects expressed in the online review. We then show that service aspect-specific sentiment indicators drive the decision to recommend an airline and that these factors can be incorporated in a predictive model using data mining techniques. We also find that the business model of an airline being reviewed, whether low cost or full service, is also an applicable consideration. Our results are highly relevant for practitioners to analyze and act on consumer feedback in a prompt manner, along with the ability of gaining a deeper understanding of the service from multiple aspects. Also, potential travelers can benefit from this approach by getting an aggregated view on service quality.
Reference No.: 2018-6
Gomber, P.; Kauffman, R.; Parker, C.; Weber, B. (2018)
On the Fintech Revolution: Interpreting the Forces of Innovation, Disruption, and Transformation in Financial Services
In: Journal of Management Information Systems, Vol. 35, No. 1, pp. 220-265
Category: Publications in scientific journals [Find it]
AbstractThe financial services industry has been experiencing the recent emergence of new technology innovations and process disruptions. The industry overall, and many fintech start-ups are looking for new pathways to successful business models, the creation of enhanced customer experience, and approaches that result in services transformation. Industry and academic observers believe this to be more of a revolution than a set of less influential changes, with financial services as a whole due for major improvements in efficiency, customer centricity, and informedness. The long-standing dominance of leading firms that are not able to figure out how to effectively hook up with the "Fintech Revolution" is at stake. We present a new fintech innovation mapping approach that enables the assessment of the extent to which there are changes and transformations in four areas of financial services. We discuss: operations management in financial services and the changes occurring; technology innovations that have begun to leverage the execution and stakeholder value associated with payments, cryptocurrencies, blockchain, and cross-border payments; multiple innovations that have affected lending and deposit services, peer-to-peer (P2P) lending, and social media use; issues with respect to investments, financial markets, trading, risk management, robo-advisory and services influenced by blockchain and fintech innovations.
Reference No.: 2018-4
Glaser, F.; Risius, M. (2018)
Effects of Transparency: Analyzing Social Biases on Trader Performance in Social Trading
In: Journal of Information Technology, Vol. 33, No. 1, pp. 19-30
Category: Publications in scientific journals [Find it]
Reference No.: 2018-92
Gomber, P.; Weber, M. (2018)
Fachbeitrag: elektronisches Handelssystem
In: Gabler Banklexikon
Category: Miscellaneous
Reference No.: 2018-2018
Gomber, P.; Haferkorn, M. (2018)
Fachbeitrag: High Frequency Trading
In: Gabler Banklexikon
Category: Miscellaneous
Reference No.: 2018-2017
Gomber, P.; Zimmermann, K. (2018)
Fachbeitrag: Internalisierung
In: Gabler Banklexikon
Category: Miscellaneous
Reference No.: 2018-2016
Gomber, P.; Haferkorn, M. (2018)
Fachbeitrag: multilaterales Handelssystem
In: Gabler Banklexikon
Category: Miscellaneous
Reference No.: 2018-2015
