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Statistical causes for the Epps effect in microstructure noise
Münnix, Michael C.; Schäfer, Rudi; Guhr, Thomas - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1231-1246
Persistent link: https://www.econbiz.de/10009541998
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Volatility clustering in financial markets : a microsimulation of interacting agents
Lux, Thomas; Marchesi, Michele - In: International journal of theoretical and applied finance 3 (2000) 4, pp. 675-702
Persistent link: https://www.econbiz.de/10001526862
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General semi-Markov model for limit order books
Sviščuk, Anatolij; Hofmeister, Tyler; Cera, Katharina; … - In: International journal of theoretical and applied finance 20 (2017) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10011686928
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Market price of trading liquidity risk and market depth
Kijima, Masaaki; Ting, Christopher - In: International journal of theoretical and applied finance 22 (2019) 8, pp. 1-36
Persistent link: https://www.econbiz.de/10012183242
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Incoporating price-relevant information between quotes and trades : a new measure of the effective bid-ask spread
Kim, Sung-hun; Ogden, Joseph P. - In: International journal of theoretical and applied finance 2 (1999) 2, pp. 179-200
Persistent link: https://www.econbiz.de/10001394249
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Kyle-Back's model with a random horizon
Corcuera, José Manuel; Di Nunno, Giulia - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-41
Persistent link: https://www.econbiz.de/10011854431
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Inventory effects on daily returns in financial markets
Krause, Andreas - In: International journal of theoretical and applied finance 6 (2003) 7, pp. 739-765
Persistent link: https://www.econbiz.de/10001820883
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Resilient price impact of trading and the cost of illiquidity
Roch, Alexandre; Soner, Halil Mete - In: International journal of theoretical and applied finance 16 (2013) 6, pp. 1-27
Persistent link: https://www.econbiz.de/10010197179
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A mathematical approach to order book modeling
Abergel, Frédéric; Jedidi, Aymen - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-40
Persistent link: https://www.econbiz.de/10009784056
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Insider trading under discreteness
Scotti, Massimo - In: International journal of theoretical and applied finance 14 (2011) 5, pp. 757-771
Persistent link: https://www.econbiz.de/10009298436