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~person:"Abergel, Frédéric"
~person:"Easley, David"
~subject:"Asymmetric information"
~subject:"Geld-Brief-Spanne"
~subject:"Volatility"
~type_genre:"Article in journal"
~type_genre:"Guidebook"
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Asymmetric information
Geld-Brief-Spanne
Volatility
Securities trading
20
Wertpapierhandel
20
Market microstructure
13
Marktmikrostruktur
13
Theorie
11
Theory
11
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9
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9
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7
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7
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6
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Abergel, Frédéric
Easley, David
Chung, Kee H.
12
Frino, Alex
11
O'Hara, Maureen
10
Van Ness, Robert A.
7
Lepone, Andrew
6
Ryu, Doojin
6
Subrahmanyam, Avanidhar
6
Theissen, Erik
6
Bondarenko, Oleg
5
Chung, Chune Young
5
Van Ness, Bonnie F.
5
Wang, Qin
5
Wu, Chunchi
5
Anderson, Hamish D.
4
Blau, Benjamin
4
Będowska-Sójka, Barbara
4
Fuertes, Ana María
4
Germain, Laurent
4
Hendershott, Terrence
4
Huang, Han-Ching
4
Kalev, Petko S.
4
Marshall, Ben R.
4
Su, Yong-chern
4
Wang, F. Albert
4
Wee, Marvin
4
Zhang, Wei
4
Ackert, Lucy F.
3
Alfonsi, Aurélien
3
Andersen, Torben
3
Banerjee, Snehal
3
Cartea, Álvaro
3
Chang, Sanders S.
3
Chen, Tao
3
Chordia, Tarun
3
Church, Bryan K.
3
Comerton-Forde, Carole
3
Dixit, Alok
3
Foucault, Thierry
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Journal of financial economics
2
Journal of financial markets
2
Quantitative finance
2
Economic theory : official journal of the Society for the Advancement of Economic Theory
1
International journal of theoretical and applied finance
1
Journal of financial and quantitative analysis : JFQA
1
Journal of mathematical finance
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
11
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11
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1
Market impact : a systematic study of the high frequency options market
Said, Emilio
;
Bel Hadj Ayed, Ahmed
;
Thillou, Damien
; …
- In:
Quantitative finance
21
(
2021
)
1
,
pp. 69-84
Persistent link: https://www.econbiz.de/10012424634
Saved in:
2
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:
3
Discerning information from trade data
Easley, David
;
López de Prado, Marcos M.
;
O'Hara, Maureen
- In:
Journal of financial economics
120
(
2016
)
2
,
pp. 269-285
Persistent link: https://www.econbiz.de/10011590080
Saved in:
4
Optimal execution horizon
Easley, David
;
López de Prado, Marcos M.
;
O'Hara, Maureen
- In:
Mathematical finance : an international journal of …
25
(
2015
)
3
,
pp. 640-672
Persistent link: https://www.econbiz.de/10011350553
Saved in:
5
Reflecting on the VPIN dispute
Andersen, Torben
;
Bondarenko, Oleg
- In:
Journal of financial markets
17
(
2014
),
pp. 53-64
Persistent link: https://www.econbiz.de/10010436245
Saved in:
6
VPIN and the flash crash
Andersen, Torben
;
Bondarenko, Oleg
;
O'Hara, Maureen
- In:
Journal of financial markets
17
(
2014
),
pp. 1-46
Persistent link: https://www.econbiz.de/10010436257
Saved in:
7
A mathematical approach to order book modeling
Abergel, Frédéric
;
Jedidi, Aymen
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
,
pp. 1-40
Persistent link: https://www.econbiz.de/10009784056
Saved in:
8
Price jump prediction in a limit order book
Zheng, Ban
;
Moulines, Eric
;
Abergel, Frédéric
- In:
Journal of mathematical finance
3
(
2013
)
2
,
pp. 242-255
Persistent link: https://www.econbiz.de/10010239589
Saved in:
9
Liquidity and valuation in an uncertain world
Easley, David
;
O'Hara, Maureen
- In:
Journal of financial economics
97
(
2010
)
1
,
pp. 1-11
Persistent link: https://www.econbiz.de/10003991306
Saved in:
10
Information, trade and incomplete markets
Blume, Lawrence E.
;
Coury, Tarek
;
Easley, David
- In:
Economic theory : official journal of the Society for …
29
(
2006
)
2
,
pp. 379-394
Persistent link: https://www.econbiz.de/10003372623
Saved in:
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