Market microstructure invariance : empirical hypotheses
by Albert S. Kyle and Anna A. Obizhaeva
| Year of publication: |
July 2016
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| Authors: | Kyle, Albert S. ; Obižaeva, Anna |
| Published in: |
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics. - [Wechselnde Erscheinungsorte] : [Wechselnde Verlage], ISSN 0012-9682, ZDB-ID 1798-X. - Vol. 84.2016, 4, p. 1345-1404
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| Subject: | Market microstructure | liquidity | bid-ask spread | market impact | trans-action costs | order size | invariance | structural estimation | Marktmikrostruktur | Geld-Brief-Spanne | Bid-ask spread | Theorie | Theory | Schätzung | Estimation | Handelsvolumen der Börse | Trading volume | Transaktionskosten | Transaction costs | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3982/ECTA10486 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011611092