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~person:"Fleming, Michael J."
~person:"Linton, Oliver"
~person:"Obižaeva, Anna"
~subject:"Financial market"
~subject:"Share price"
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Fleming, Michael J.
Linton, Oliver
Obižaeva, Anna
Hautsch, Nikolaus
27
Theissen, Erik
13
Horst, Ulrich
12
Lux, Thomas
12
Kyle, Albert S.
10
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9
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9
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8
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8
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8
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7
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7
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7
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6
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Ibikunle, Gbenga
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1
Nonparametric estimation of large spot volatility matrices for high-frequency financial data
Bu, Ruijun
;
Li, Degui
;
Linton, Oliver
;
Wang, Hanchao
-
2022
-
This version: March 16, 2022
Persistent link: https://www.econbiz.de/10013263439
Saved in:
2
Tick size, competition for liquidity provision, and price discovery : evidence from the u.s. treasury market
Fleming, Michael J.
;
Nguyen, Giang H.
;
Ruela, Francisco
- In:
Management science : journal of the Institute for …
70
(
2024
)
1
,
pp. 332-354
Persistent link: https://www.econbiz.de/10014470002
Saved in:
3
Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model
Li, Yu-Ning
;
Chen, Jia
;
Linton, Oliver
-
2021
Persistent link: https://www.econbiz.de/10013259517
Saved in:
4
Large bets and stock market crashes
Kyle, Albert S.
;
Obižaeva, Anna
- In:
Review of finance : journal of the European Finance …
27
(
2023
)
6
,
pp. 2163-2203
Persistent link: https://www.econbiz.de/10014445768
Saved in:
5
Market microstructure invariance: a dynamic equilibrium model
Kyle, Albert S.
;
Obižaeva, Anna
-
2020
Persistent link: https://www.econbiz.de/10012494205
Saved in:
6
Adverse selection and liquidity: from theory to practice
Kyle, Albert S.
;
Obižaeva, Anna
-
2020
Persistent link: https://www.econbiz.de/10012494209
Saved in:
7
Large bets and stock market crashes
Kyle, Albert S.
;
Obižaeva, Anna
-
2020
Persistent link: https://www.econbiz.de/10012494212
Saved in:
8
The market impact puzzle
Kyle, Albert S.
;
Obižaeva, Anna
-
2020
Persistent link: https://www.econbiz.de/10012494214
Saved in:
9
Trading liquidity and funding liquidityin fixed income markets: implications of market microstructure invariance
Kyle, Albert S.
;
Obižaeva, Anna
-
2020
Persistent link: https://www.econbiz.de/10012494216
Saved in:
10
Invariance in buy-sell switching points
Bae, Kyoung-hun
;
Bondarenko, Oleg
;
Lee, Eun Jung
; …
-
2020
Persistent link: https://www.econbiz.de/10012494223
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