Informed trading, flow toxucity and the impact on intraday trading factors
Year of publication: |
2013
|
---|---|
Authors: | Wang Chun Wei ; Gerace, Dionigi ; Frino, Alex |
Published in: |
Australasian accounting business and finance journal : AABF. - Wollongong, NSW : Univ., ISSN 1834-2019, ZDB-ID 2551029-0. - Vol. 7.2013, 2, p. 3-24
|
Subject: | VPIN | flow toxicity | informed trading | quote imbalance | realised volatility | volume bucketing | market microstrucutre | Granger causality | Volatilität | Volatility | Kausalanalyse | Causality analysis | Wertpapierhandel | Securities trading | Handelsvolumen der Börse | Trading volume | Marktmikrostruktur | Market microstructure | Schätzung | Estimation | Insiderhandel | Insider trading |
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