Similar Search Results

Caught On Tape: Institutional Trading, Stock Returns, and Earnings Announcements

Campbell, John Y; Ramadorai, Tarun; Schwartz, Allie - C.E.P.R. Discussion Papers - 2007

Many questions about institutional trading can only be answered if one can track high-frequency changes in institutional ownership. In the U.S., however, institutions are only required to report their ownership quarterly in 13-F filings. We infer daily institutional trading behaviour from the...

Persistent link: https://www.econbiz.de/10005791333

Classification of flash crashes using the Hawkes(p,q) framework

Wehrli, Alexander; Sornette, Didier - In: Quantitative finance 22 (2022) 2, pp. 213-240

Persistent link: https://www.econbiz.de/10013167733

State-dependent Hawkes processes and their application to limit order book modelling

Morariu-Patrichi, Maxime; Pakkanen, Mikko S. - In: Quantitative finance 22 (2022) 3, pp. 563-583

Persistent link: https://www.econbiz.de/10013167781

Optimal trade execution for Gaussian signals with power-law resilience

Forde, Martin; Sánchez-Betancourt, Leandro; Smith, Benjamin - In: Quantitative finance 22 (2022) 3, pp. 585-596

Persistent link: https://www.econbiz.de/10013167782

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

Call auction, continuous trading and closing price formation

Li, Jiayi; Luo, Sumei; Zhou, Guangyou - In: Quantitative finance 21 (2021) 6, pp. 1037-1065

Persistent link: https://www.econbiz.de/10012515635

CME iceberg order detection and prediction

Zotikov, Dmitry; Antonov, Anton - In: Quantitative finance 21 (2021) 11, pp. 1977-1992

Persistent link: https://www.econbiz.de/10012696802

Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes

Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier - In: Quantitative finance 21 (2021) 5, pp. 729-752

Persistent link: https://www.econbiz.de/10012500185

Improvements in estimating the probability of informed trading models

Cheng, Tsung-Chi; Lai, Hung-neng - In: Quantitative finance 21 (2021) 5, pp. 771-796

Persistent link: https://www.econbiz.de/10012500188

Algorithmic trading in a microstructural limit order book model

Abergel, Frédéric; Huré, Côme; Pham, Huyên - In: Quantitative finance 20 (2020) 8, pp. 1263-1283

Persistent link: https://www.econbiz.de/10012262662