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isPartOf:"Review of quantitative finance and accounting"
~isPartOf:"Quantitative finance"
~subject:"Marktmikrostruktur"
~subject:"Volatility"
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Search: subject_exact:"Wertpapiergeschäft"
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Marktmikrostruktur
Volatility
Securities trading
80
Wertpapierhandel
80
Börsenkurs
41
Share price
41
Theorie
32
Theory
32
Market microstructure
31
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17
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17
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Abergel, Frédéric
3
Cont, Rama
3
Cucuringu, Mihai
2
Hung, Pi-Hsia
2
Lien, Da-hsiang Donald
2
Lillo, Fabrizio
2
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1
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1
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1
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Review of quantitative finance and accounting
Quantitative finance
Journal of financial markets
38
Journal of banking & finance
32
Pacific-Basin finance journal
32
Market microstructure and liquidity
23
International review of financial analysis
21
Journal of financial economics
19
Finance research letters
17
Journal of international financial markets, institutions & money
16
The financial review : the official publication of the Eastern Finance Association
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The European journal of finance
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Journal of empirical finance
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Research in international business and finance
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CFS working paper series
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International review of economics & finance : IREF
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The journal of futures markets
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SAFE working paper
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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NBER working paper series
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Applied mathematical finance
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Asia-Pacific journal of financial studies
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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International journal of theoretical and applied finance
8
Management science : journal of the Institute for Operations Research and the Management Sciences
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NBER Working Paper
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The journal of finance : the journal of the American Finance Association
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The journal of trading
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Gabler Edition Wissenschaft
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Staff reports / Federal Reserve Bank of New York
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Journal of risk and financial management : JRFM
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Rodney L. White Center for Financial Research
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SFB 649 discussion paper
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The review of financial studies
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ECONIS (ZBW)
38
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1
Cross-impact of order flow imbalance in equity markets
Cont, Rama
;
Cucuringu, Mihai
;
Zhang, Chao
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1373-1393
Persistent link: https://www.econbiz.de/10014419165
Saved in:
2
Analysis and modeling of client order flow in limit order markets
Cont, Rama
;
Cucuringu, Mihai
;
Glukhov, Vacslav
; …
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 187-205
Persistent link: https://www.econbiz.de/10014232614
Saved in:
3
A generative model of a limit order book using recurrent neural networks
Hultin, Hanna
;
Hult, Henrik
;
Proutiere, Alexandre
; …
- In:
Quantitative finance
23
(
2023
)
6
,
pp. 931-958
Persistent link: https://www.econbiz.de/10014304400
Saved in:
4
State-dependent Hawkes processes and their application to limit order book modelling
Morariu-Patrichi, Maxime
;
Pakkanen, Mikko S.
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 563-583
Persistent link: https://www.econbiz.de/10013167781
Saved in:
5
Optimal trade execution for Gaussian signals with power-law resilience
Forde, Martin
;
Sánchez-Betancourt, Leandro
;
Smith, Benjamin
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 585-596
Persistent link: https://www.econbiz.de/10013167782
Saved in:
6
Forced consolidation
Pomeranets, Anna
;
Weaver, Daniel G.
- In:
Review of quantitative finance and accounting
62
(
2024
)
2
,
pp. 579-601
Persistent link: https://www.econbiz.de/10014503122
Saved in:
7
Rule-based trading on an order-driven exchange : a reassessment
Isaac, Alan Glen
;
Ramaswamy, Vasudeva
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1871-1886
Persistent link: https://www.econbiz.de/10014452482
Saved in:
8
Whose trades contribute more to price discovery? : evidence from the Taiwan stock exchange
Lien, Da-hsiang Donald
;
Hung, Pi-Hsia
- In:
Review of quantitative finance and accounting
61
(
2023
)
1
,
pp. 213-263
Persistent link: https://www.econbiz.de/10014342030
Saved in:
9
Liquidity fluctuations and the latent dynamics of price impact
Mertens, Luca Philippe
;
Ciacci, Alberto
;
Lillo, Fabrizio
; …
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 149-169
Persistent link: https://www.econbiz.de/10012872529
Saved in:
10
Time-dependent relations between gaps and returns in a Bitcoin order book
Mota-Navarro, Roberto
;
Monroy-Castillero, Paulino
; …
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1343-1354
Persistent link: https://www.econbiz.de/10013367903
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