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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

The behavior of high-frequency traders under different market stress scenarios

Megarbane, Nicolas; Saliba, Pamela; Lehalle, Charles-Albert - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-54

Persistent link: https://www.econbiz.de/10011988891

Extension and calibration of a Hawkes-based optimal execution model

Alfonsi, Aurélien; Blanc, Pierre - In: Market microstructure and liquidity 2 (2016) 2, pp. 1-55

Persistent link: https://www.econbiz.de/10011588251

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970

Multiscale analysis of foreign exchange order flows and technical trading profitability

Gradojevic, Nikola; Lento, Camillo - In: Economic modelling 47 (2015), pp. 156-165

Persistent link: https://www.econbiz.de/10011439041

Does feedback trading drive returns of cross-listed shares?

Chen, Jing; Dong, Yizhe; Hou, Wenxuan; McMillan, David G. - In: Journal of international financial markets, … 53 (2018), pp. 179-199

Persistent link: https://www.econbiz.de/10011983852

Order flow volatility and equity costs of capital

Chordia, Tarun; Hu, Jianfeng; Subrahmanyam, Avanidhar; … - In: Management science : journal of the Institute for … 65 (2019) 4, pp. 1520-1551

Persistent link: https://www.econbiz.de/10012022640

Dynamic predictor selection and order splitting in a limit order market

Yamamoto, Ryuichi - In: Macroeconomic dynamics 23 (2019) 5, pp. 1757-1792

Persistent link: https://www.econbiz.de/10012127237

Liquidity withdrawal in the FX spot market : a cross-country study using high-frequency data

Stenfors, Alexis; Susai, Masayuki - In: Journal of international financial markets, … 59 (2019), pp. 36-57

Persistent link: https://www.econbiz.de/10012127871

Trading and ordering patterns of market participants in high frequency trading environment : empirical study in the Japanese stock market

Saito, Taiga; Adachi, Takanori; Nakatsuma, Teruo; … - In: Asia-Pacific financial markets 25 (2018) 3, pp. 179-220

Persistent link: https://www.econbiz.de/10012033008

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