Microstructure invariance in U.S. stock market trades
Year of publication: |
2020
|
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Authors: | Kyle, Albert S. ; Obižaeva, Anna ; Tuzun, Tugkan |
Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 49.2020, p. 1-36
|
Subject: | Market microstructure | Invariance | Transaction data | Market frictions | Trade size | Tick size | Order shredding | Clustering | TAQ data | Liquidity | USA | United States | Marktmikrostruktur | Handelsvolumen der Börse | Trading volume | Aktienmarkt | Stock market | Volatilität | Volatility | Geld-Brief-Spanne | Bid-ask spread | Transaktionskosten | Transaction costs | Wertpapierhandel | Securities trading |
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