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Rosario N. Mantegna

is professor at Palermo University, Palermo, Italy.  His research concerns interdisciplinary applications of statistical physics. Rosario received his PhD in physics from Palermo University in 1990. He started to work in the area of the analysis and modeling of social and economic systems with tools and concepts of statistical physics as early as 1990 and he is one of the pioneers in the field of econophysics. He has introduced and investigated proximity based networks in 1999. He coauthored the first book on econophysics and has coordinated several research projects, including Marie Curie Host Fellowship, COST, EU STREP, INET and national ones. Rosario is member of the Observatory of Complex Systems of Palermo University, of the Center for Network Science of Central European University, and is also honorary professor at University College London, London, UK.

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Rosario Nunzio Mantegna - Federico Musciotto - Luca Marotta - Jyrki Piilo: Price discovery and market liquidity at NASDAQ Nordic OMX exchanges

We investigate the process of price discovery of several financial assets traded at the Nasdaq Nordic OMX exchanges. Specifically, we empirically investigate the dynamics of the order book of financial assets belonging to the categories of stocks, warrants, equity warrants, and index fund units. By investigating the mean cancelation time of the limit orders submitted to the market we infer about the presence of high frequency trading for a specific financial asset traded in the market. We verify that the presence of high frequency order submission is not always associated with high liquidity. We perform a cross sectional analysis of the order submission and cancellation procedure to detect characteristics of the multivariate nature of high frequency order submission. A discussion of the relationship between high frequency order submission activity and asset liquidity is provided for different categories of financial assets.

Last modified: 2018.11.30.