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~person:"Kyle, Albert S."
~person:"Langedijk, Sven"
~person:"Misaki, Hiroumi"
~type_genre:"Article in journal"
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Search: subject_exact:"Microstructure of markets"
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Market microstructure
9
Marktmikrostruktur
9
Bid-ask spread
5
Geld-Brief-Spanne
5
Liquidity
4
Volatility
4
Volatilität
4
Securities trading
3
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Wertpapierhandel
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Aktienmarkt
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Börsenkurs
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Estimation
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Handelsvolumen der Börse
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High-frequency data
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Invariance
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Liquidität
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Price impact
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Rational expectations
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Share price
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Stock market
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Theorie
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Theory
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bid-ask spread
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liquidity
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Aggregation
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Asymmetric information
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Asymmetrische Information
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Asymptotic robustness
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Auction
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Auction theory
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Kyle, Albert S.
Langedijk, Sven
Misaki, Hiroumi
O'Hara, Maureen
22
Frino, Alex
14
Easley, David
13
Chung, Kee H.
10
Gradojevic, Nikola
10
Mykland, Per A.
10
Ryu, Doojin
10
Theissen, Erik
10
Hung, Pi-Hsia
9
Grammig, Joachim
8
Li, Yingying
8
Menkhoff, Lukas
8
Nolte, Ingmar
8
Rime, Dagfinn
8
Sensoy, Ahmet
8
Taylor, Mark P.
8
Van Ness, Robert A.
8
Andersen, Torben
7
Ap Gwilym, Owain
7
Aït-Sahalia, Yacine
7
Hautsch, Nikolaus
7
Lepone, Andrew
7
Lien, Da-hsiang Donald
7
Liu, Zhi
7
Lyons, Richard K.
7
Marsh, Ian
7
Pagano, Michael S.
7
Reitz, Stefan
7
Schwartz, Robert A.
7
Subrahmanyam, Avanidhar
7
Yamamoto, Ryuichi
7
Zhang, Lan
7
Abergel, Frédéric
6
Bernhardt, Dan
6
Bollerslev, Tim
6
Bouchaud, Jean-Philippe
6
Frijns, Bart
6
Lehalle, Charles-Albert
6
Lillo, Fabrizio
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International review of economics & finance : IREF
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of financial markets
1
Oxford review of economic policy
1
Review of finance : journal of the European Finance Association
1
The journal of finance : the journal of the American Finance Association
1
The journal of portfolio management : a publication of Institutional Investor
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The review of economic studies
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ECONIS (ZBW)
9
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1
Beliefs aggregation and return predictability
Kyle, Albert S.
;
Obižaeva, Anna
;
Wang, Yajun
- In:
The journal of finance : the journal of the American …
78
(
2023
)
1
,
pp. 427-486
Persistent link: https://www.econbiz.de/10014311365
Saved in:
2
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:
3
Microstructure invariance in U.S. stock market trades
Kyle, Albert S.
;
Obižaeva, Anna
;
Tuzun, Tugkan
- In:
Journal of financial markets
49
(
2020
),
pp. 1-36
Persistent link: https://www.econbiz.de/10013531193
Saved in:
4
Benchmarking liquidity proxies : the case of EU sovereign bonds
Langedijk, Sven
;
Monokroussos, George
;
Papanagiotou, …
- In:
International review of economics & finance : IREF
56
(
2018
),
pp. 321-329
Persistent link: https://www.econbiz.de/10012033770
Saved in:
5
Smooth trading with overconfidence and market power
Kyle, Albert S.
;
Obižaeva, Anna
;
Wang, Yajun
- In:
The review of economic studies
85
(
2018
)
1
,
pp. 611-662
Persistent link: https://www.econbiz.de/10011921402
Saved in:
6
Toward a fully continuous exchange
Kyle, Albert S.
;
Lee, Jeongmin
- In:
Oxford review of economic policy
33
(
2017
)
4
,
pp. 650-675
Persistent link: https://www.econbiz.de/10011952562
Saved in:
7
Market microstructure invariance : empirical hypotheses
Kyle, Albert S.
;
Obižaeva, Anna
- In:
Econometrica : journal of the Econometric Society, an …
84
(
2016
)
4
,
pp. 1345-1404
Persistent link: https://www.econbiz.de/10011611092
Saved in:
8
A practitioner's guide to market microstructure invariance
Kyle, Albert S.
;
Obižaeva, Anna
;
Kritzman, Mark
- In:
The journal of portfolio management : a publication of …
43
(
2016
)
1
,
pp. 43-53
Persistent link: https://www.econbiz.de/10011686160
Saved in:
9
On robust properties of the SIML estimation of volatility under micro-market noise and random sampling
Misaki, Hiroumi
;
Kunitomo, Naoto
- In:
International review of economics & finance : IREF
40
(
2015
),
pp. 265-281
Persistent link: https://www.econbiz.de/10011573588
Saved in:
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