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A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market
Li, Zhicheng; Chen, Xinyun; Xing, Haipeng - In: Economic modelling 118 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014229238
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Algorithmic trading : intraday profitability and trading behavior
Arumugam, Devika - In: Economic modelling 128 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014464406
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Market price determination : Interpreting quote order imbalance under zero-profit equilibrium
Long, Yunshen; Yan, Jingzhou; Wu, Liang; Long, Xingchen - In: Economic modelling 134 (2024), pp. 1-14
Persistent link: https://www.econbiz.de/10014548479
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Jumps in equilibrium prices and asymmetric news in foreign exchange markets
El Ouadghiri, Imane; Uctum, Remzi - In: Economic modelling 54 (2016), pp. 218-234
Persistent link: https://www.econbiz.de/10011642112
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The distribution of index futures realised volatility under seasonality and microstructure noise
Alemany, Nuria; Aragó, Vicent; Salvador, Enrique - In: Economic modelling 93 (2020), pp. 398-414
Persistent link: https://www.econbiz.de/10012430196
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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
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An empirical analysis of the Shanghai and Shenzhen limit order books
Chung, Huimin; Gao, Cheng; Lu, Jie; Mizrach, Bruce Marshall - In: Economic modelling 34 (2013), pp. 37-41
Persistent link: https://www.econbiz.de/10010360623
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An analysis of impact of cancellation activity on market quality : evidence from China
Chu, Gang; Zhang, Yongjie; Zhang, Xiaotao - In: Economic modelling 102 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10012796584
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Information and optimal trading strategies with dark pools
Bayona, Anna; Dumitrescu, Ariadna; Manzano Tovar, Carolina - In: Economic modelling 126 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014462407
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The heterogeneous volume-volatility relations in the exchange-traded fund market : evidence from China
Xu, Liao; Gao, Han; Shi, Yukun; Zhao, Yang - In: Economic modelling 85 (2020), pp. 400-408
Persistent link: https://www.econbiz.de/10012210698