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Liquidity fluctuations and the latent dynamics of price impact
Mertens, Luca Philippe; Ciacci, Alberto; Lillo, Fabrizio; … - In: Quantitative finance 22 (2022) 1, pp. 149-169
Persistent link: https://www.econbiz.de/10012872529
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Point and density prediction of intra-day volume using Bayesian linear ACV models : evidence from the Polish stock market
Huptas, Roman - In: Quantitative finance 18 (2018) 5, pp. 749-760
Persistent link: https://www.econbiz.de/10011907915
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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
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Rule-based trading on an order-driven exchange : a reassessment
Isaac, Alan Glen; Ramaswamy, Vasudeva - In: Quantitative finance 23 (2023) 12, pp. 1871-1886
Persistent link: https://www.econbiz.de/10014452482
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Cross-impact of order flow imbalance in equity markets
Cont, Rama; Cucuringu, Mihai; Zhang, Chao - In: Quantitative finance 23 (2023) 10, pp. 1373-1393
Persistent link: https://www.econbiz.de/10014419165
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Trade co-occurrence, trade flow decomposition and conditional order imbalance in equity markets
Lu, Yutong; Reinert, Gesine; Cucuringu, Mihai - In: Quantitative finance 24 (2024) 6, pp. 779-809
Persistent link: https://www.econbiz.de/10015050797