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~person:"Bouchaud, Jean-Philippe"
~person:"Van Ness, Robert A."
~subject:"Börsenkurs"
~subject:"Stochastic process"
~type_genre:"Article in journal"
~type_genre:"Aufsatzsammlung"
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Bouchaud, Jean-Philippe
Van Ness, Robert A.
Frino, Alex
11
Hung, Pi-Hsia
11
Lien, Da-hsiang Donald
9
Cartea, Álvaro
7
Chung, Kee H.
7
Van Ness, Bonnie F.
7
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6
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Market microstructure and liquidity
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2
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1
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Journal of financial markets
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ECONIS (ZBW)
12
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1
The dark side of IPOs : examining where and who trades in the IPO secondary market
Cox, Justin
;
Van Ness, Bonnie F.
;
Van Ness, Robert A.
- In:
Financial management : FM
51
(
2022
)
4
,
pp. 1091-1126
Persistent link: https://www.econbiz.de/10013468495
Saved in:
2
Non-parametric estimation of quadratic Hawkes processes for order book events
Fosset, Antoine
;
Bouchaud, Jean-Philippe
;
Benzaquen, Michael
- In:
The European journal of finance
28
(
2022
)
7
,
pp. 663-678
Persistent link: https://www.econbiz.de/10013373307
Saved in:
3
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:
4
Multiple markets, algorithmic trading, and market liquidity
Upson, James
;
Van Ness, Robert A.
- In:
Journal of financial markets
32
(
2017
),
pp. 49-68
Persistent link: https://www.econbiz.de/10011814965
Saved in:
5
The short-term price impact of trades is universal
Tóth, Bence
;
Eisler, Zoltán
;
Bouchaud, Jean-Philippe
- In:
Market microstructure and liquidity
3
(
2017
)
2
,
pp. 1-11
Persistent link: https://www.econbiz.de/10011923328
Saved in:
6
High-frequency trading patterns around short-term volatility spikes
Griffith, Todd G.
;
Van Ness, Bonnie F.
;
Van Ness, Robert A.
- In:
The journal of trading
12
(
2017
)
3
,
pp. 48-68
Persistent link: https://www.econbiz.de/10011699679
Saved in:
7
Dealers and changing obligations : the case of stub quoting
Egginton, Jared F.
;
Van Ness, Bonnie F.
;
Van Ness, Robert A.
- In:
Review of quantitative finance and accounting
47
(
2016
)
4
,
pp. 919-941
Persistent link: https://www.econbiz.de/10011595757
Saved in:
8
Slow decay of impact in equity markets
Brokmann, X.
;
Sérié, E.
;
Kockelkoren, J.
;
Bouchaud, …
- In:
Market microstructure and liquidity
1
(
2015
)
2
,
pp. 1-15
Persistent link: https://www.econbiz.de/10011588208
Saved in:
9
Clustering of trade prices by high-frequency and non-high-frequency trading firms
Davis, Ryan L.
;
Van Ness, Bonnie F.
;
Van Ness, Robert A.
- In:
The financial review : the official publication of the …
49
(
2014
)
2
,
pp. 421-433
Persistent link: https://www.econbiz.de/10010363570
Saved in:
10
Trade size and price clustering : the case of short sales and the suspension of price tests
Blau, Benjamin M.
;
Van Ness, Bonnie F.
;
Van Ness, Robert A.
- In:
The journal of financial research
35
(
2012
)
2
,
pp. 159-182
Persistent link: https://www.econbiz.de/10009575938
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