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Bid-ask spread
9
Geld-Brief-Spanne
9
Theorie
8
Theory
8
Börsenkurs
7
Securities trading
7
Share price
7
Wertpapierhandel
7
Market microstructure
6
Marktmikrostruktur
6
Bourse
3
Börse
3
Limit order book
3
Volatility
3
Volatilität
3
Estimation
2
Handelsvolumen der Börse
2
Hawkes processes
2
High-frequency data
2
Schätzung
2
Stochastic process
2
Stochastischer Prozess
2
Trading volume
2
Adverse Selektion
1
Adverse selection
1
Aktienmarkt
1
Anlageverhalten
1
Behavioural finance
1
Burst
1
Calibration
1
Chartism
1
Computational behavioral finance
1
Cox processes
1
Crypto-assets
1
Data augmentation
1
Electronic trading
1
Elektronisches Handelssystem
1
Endogeneity
1
Financial market
1
Finanzmarkt
1
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English
9
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Abergel, Frédéric
1
Bouchaud, Jean-Philippe
1
Bucci, Frederic
1
Echenim, Mnacho
1
Eisler, Zoltan
1
Gençay, Ramazan
1
Gobet, Emmanuel
1
Isaac, Alan Glen
1
Isaenko, Sergei
1
Ju, Geonhwan
1
Kim, Kyoung-Kuk
1
Lehalle, Charles-Albert
1
Lillo, Fabrizio
1
Lim, Dong-Young
1
Lu, Xiaofei
1
Mahmoodzadeh, S.
1
Mastromatteo, Iacopo
1
Maurice, Anne-Claire
1
Morariu-Patrichi, Maxime
1
Pakkanen, Mikko S.
1
Ramaswamy, Vasudeva
1
Rojček, Jakub
1
Toke, Ioane Muni
1
Tseng, M. C.
1
Yoshida, Nakahiro
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Quantitative finance
Journal of financial markets
48
Finance research letters
35
Journal of banking & finance
35
The journal of futures markets
35
Journal of financial economics
32
Journal of international financial markets, institutions & money
31
International review of financial analysis
28
Review of quantitative finance and accounting
28
The review of financial studies
26
The journal of finance : the journal of the American Finance Association
24
Journal of empirical finance
20
Pacific-Basin finance journal
20
International review of economics & finance : IREF
17
The European journal of finance
17
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
17
Journal of financial and quantitative analysis : JFQA
16
The financial review : the official publication of the Eastern Finance Association
16
Working paper / National Bureau of Economic Research, Inc.
15
Discussion paper / Centre for Economic Policy Research
14
NBER working paper series
14
Research in international business and finance
13
International journal of theoretical and applied finance
12
Applied economics letters
11
European financial management : the journal of the European Financial Management Association
11
Global finance journal
11
Market microstructure and liquidity
11
Applied economics
10
NBER Working Paper
10
Economic modelling
9
Economics Papers from University Paris Dauphine
9
International journal of economics and finance
9
Journal of economic dynamics & control
9
Journal of financial intermediation
9
Working paper
9
CFS working paper series
8
Management science : journal of the Institute for Operations Research and the Management Sciences
8
The North American journal of economics and finance : a journal of financial economics studies
8
Applied financial economics
7
CFS Working Paper
7
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ECONIS (ZBW)
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1
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:
2
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:
3
Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes
Echenim, Mnacho
;
Gobet, Emmanuel
;
Maurice, Anne-Claire
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1285-1304
Persistent link: https://www.econbiz.de/10014339922
Saved in:
4
Analyzing order flows in limit order books with ratios of Cox-type intensities
Toke, Ioane Muni
;
Yoshida, Nakahiro
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 81-98
Persistent link: https://www.econbiz.de/10012194856
Saved in:
5
Co-impact : crowding effects in institutional trading activity
Bucci, Frederic
;
Mastromatteo, Iacopo
;
Eisler, Zoltan
; …
- In:
Quantitative finance
20
(
2020
)
2
,
pp. 193-205
Persistent link: https://www.econbiz.de/10012194861
Saved in:
6
Learning multi-market microstructure from order book data
Ju, Geonhwan
;
Kim, Kyoung-Kuk
;
Lim, Dong-Young
- In:
Quantitative finance
19
(
2019
)
9
,
pp. 1517-1529
Persistent link: https://www.econbiz.de/10012194803
Saved in:
7
Price impact and bursts in liquidity provision
Gençay, Ramazan
;
Mahmoodzadeh, S.
;
Rojček, Jakub
; …
- In:
Quantitative finance
18
(
2018
)
7
,
pp. 1129-1148
Persistent link: https://www.econbiz.de/10011911529
Saved in:
8
High-dimensional Hawkes processes for limit order books : modelling, empirical analysis and numerical calibration
Lu, Xiaofei
;
Abergel, Frédéric
- In:
Quantitative finance
18
(
2018
)
2
,
pp. 249-264
Persistent link: https://www.econbiz.de/10011905913
Saved in:
9
Optimal mean-reversion strategy in the presence of
bid-ask
spread
and delays in capital allocations
Isaenko, Sergei
- In:
Quantitative finance
18
(
2018
)
12
,
pp. 2051-2065
Persistent link: https://www.econbiz.de/10012262965
Saved in:
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