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~isPartOf:"The journal of futures markets"
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Market microstructure
16
Marktmikrostruktur
16
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6
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6
Bid-ask spread
4
Börsenkurs
4
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4
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Fonseca, José da
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The journal of futures markets
Journal of financial markets
89
Journal of banking & finance
73
Journal of financial economics
59
Journal of econometrics
52
Quantitative finance
41
Pacific-Basin finance journal
40
Finance research letters
39
Journal of international financial markets, institutions & money
39
International review of financial analysis
36
Journal of empirical finance
36
Journal of international money and finance
30
Market microstructure and liquidity
25
The European journal of finance
25
Journal of economic dynamics & control
22
The University of Nottingham / School of Economics - discussion papers
22
International journal of finance & economics : IJFE
21
London School of Economics and Political Science - Publications
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NBER working paper series
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The review of financial studies
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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The financial review : the official publication of the Eastern Finance Association
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CFS working paper series
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International review of economics & finance : IREF
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Journal of financial and quantitative analysis : JFQA
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MPRA Paper
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Working paper / National Bureau of Economic Research, Inc.
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Research paper series / Swiss Finance Institute
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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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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Research in international business and finance
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ECONIS (ZBW)
16
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1
Futures trading costs and
market
microstructure
invariance : identifying bet activity
Hou, Ai Jun
;
Nordén, Lars L.
;
Xu, Caihong
- In:
The journal of futures markets
44
(
2024
)
6
,
pp. 901-922
Persistent link: https://www.econbiz.de/10014536704
Saved in:
2
Reporting delays and the information content of off-market trades
Frino, Alex
;
Galati, Luca
;
Gerace, Dionigi
- In:
The journal of futures markets
42
(
2022
)
11
,
pp. 2053-2067
Persistent link: https://www.econbiz.de/10013465864
Saved in:
3
The information effect of order flows in foreign currency futures and spot markets
Chen, Yu-Lun
;
Gau, Yin-feng
- In:
The journal of futures markets
42
(
2022
)
8
,
pp. 1549-1572
Persistent link: https://www.econbiz.de/10013288004
Saved in:
4
Correlation and lead-lag relationships in a Hawkes microstructure model
Fonseca, José da
;
Zaatour, Riadh
- In:
The journal of futures markets
37
(
2017
)
3
,
pp. 260-285
Persistent link: https://www.econbiz.de/10011669809
Saved in:
5
Hedge ratio prediction with noisy and asynchronous high-frequency data
Lai, Yu-Sheng
- In:
The journal of futures markets
36
(
2016
)
3
,
pp. 295-314
Persistent link: https://www.econbiz.de/10011568233
Saved in:
6
Components of the bid-ask spread and variance : a unified approach
Hagströmer, Björn
;
Henricsson, Richard
;
Nordén, Lars L.
- In:
The journal of futures markets
36
(
2016
)
6
,
pp. 545-563
Persistent link: https://www.econbiz.de/10011568452
Saved in:
7
Clustering and mean reversion in a Hawkes microstructure model
Fonseca, José da
;
Zaatour, Riadh
- In:
The journal of futures markets
35
(
2015
)
9
,
pp. 813-838
Persistent link: https://www.econbiz.de/10011392661
Saved in:
8
Transactions in futures markets : informed or uninformed?
Frino, Alex
;
Kruk, Jennifer
;
Lepone, Andrew
- In:
The journal of futures markets
27
(
2007
)
12
,
pp. 1159-1174
Persistent link: https://www.econbiz.de/10003627175
Saved in:
9
Option bid-ask spread and scalping risk : evidence from a covered warrants market
Petrella, Giovanni
- In:
The journal of futures markets
26
(
2006
)
9
,
pp. 843-867
Persistent link: https://www.econbiz.de/10003356469
Saved in:
10
Nonlinear dynamics and competing behavioral interpretations : evidence from intra-day FTSE-100 index and futures data
McMillan, David G.
;
Speight, Alan E. H.
- In:
The journal of futures markets
26
(
2006
)
4
,
pp. 343-368
Persistent link: https://www.econbiz.de/10003304077
Saved in:
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