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The sensitivity of VPIN to the choice of trade classification algorithm
Pöppe, Thomas; Moos, Sebastian; Schiereck, Dirk - In: Journal of banking & finance 73 (2016), pp. 165-181
Persistent link: https://www.econbiz.de/10011635691
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The information content of option ratios
Blau, Benjamin; Nguyen Nga; Whitby, Ryan J. - In: Journal of banking & finance 43 (2014), pp. 179-187
Persistent link: https://www.econbiz.de/10010410010
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Option-Implied variance asymmetry and the cross-section of stock returns
Huang, Tao; Li, Junye - In: Journal of banking & finance 101 (2019), pp. 21-36
Persistent link: https://www.econbiz.de/10012162590
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Fragmentation, price formation and cross-impact in bitcoin markets
Albers, Jakob; Cucuringu, Mihai; Howison, Sam; … - In: Applied mathematical finance 28 (2021) 5, pp. 395-448
Persistent link: https://www.econbiz.de/10013411711
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The dynamics of quote adjustments
Chung, Kee H.; Chuwonganant, Chairat; Jiang, Jing - In: Journal of banking & finance 32 (2008) 11, pp. 2390-2400
Persistent link: https://www.econbiz.de/10003787214
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Market quality changes in the London Stock Market
Chelley-Steeley, Patricia L. - In: Journal of banking & finance 32 (2008) 10, pp. 2248-2253
Persistent link: https://www.econbiz.de/10003778720
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Quote-based competition, market share, and execution quality in NASDAQ-listed securities
Chung, Kee H.; Chuwonganant, Chairat - In: Journal of banking & finance 31 (2007) 9, pp. 2770-2795
Persistent link: https://www.econbiz.de/10003572362
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The tick-by-tick dynamical consistency of price impact in limit order books
Challet, Damien - In: Applied mathematical finance 18 (2011) 3/4, pp. 189-205
Persistent link: https://www.econbiz.de/10009381942
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Order flow, bid–ask spread and trading density in foreign exchange markets
Chen, Shikuan; Chien, Chih-Chung; Chang, Ming-Jen - In: Journal of banking & finance 36 (2012) 2, pp. 597-612
Persistent link: https://www.econbiz.de/10009511764
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Public information arrival : price discovery and liquidity in electronic limit order markets
Riordan, Ryan; Storkenmaier, Andreas; Wagener, Martin; … - In: Journal of banking & finance 37 (2013) 4, pp. 1148-1159
Persistent link: https://www.econbiz.de/10009716239