Market price of trading liquidity risk and market depth
Year of publication: |
2019
|
---|---|
Authors: | Kijima, Masaaki ; Ting, Christopher |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 22.2019, 8, p. 1-36
|
Subject: | Price impact | order flow | market price of risk | market microstructure | Marktmikrostruktur | Market microstructure | Wertpapierhandel | Securities trading | Liquidität | Liquidity | Börsenkurs | Share price | Theorie | Theory | Risikoprämie | Risk premium |
-
Liquidity and impact in fair markets
Jaisson, Thibault, (2015)
-
Distilling liquidity costs from limit order books
Amaya, Diego, (2018)
-
Large bets and stock market crashes
Kyle, Albert S., (2023)
- More ...
-
The impact of transaction duration, volume and direction on price dynamics and volatility
Tay, Anthony, (2010)
-
Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading
Tay, Anthony, (2007)
-
Which Daily Price is Less Noisy?
Ting, Christopher, (2006)
- More ...