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Order characteristics and stock price evolution : an application to program trading
Hasbrouck, Joel - In: Journal of financial economics 41 (1996) 1, pp. 129-149
Persistent link: https://www.econbiz.de/10001196552
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Market volatility prediction and the efficiency of the S&P 100 index option market
Harvey, Campbell R. - In: Journal of financial economics 31 (1992) 1, pp. 43-73
Persistent link: https://www.econbiz.de/10001133538
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Econometric models of limit-order executions
Lo, Andrew W.; MacKinlay, Archie Craig; Zhang, June - In: Journal of financial economics 65 (2002) 1, pp. 31-71
Persistent link: https://www.econbiz.de/10001690102
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Posted versus effective spreads : good prices or bad quotes?
Petersen, Mitchell A. - In: Journal of financial economics 35 (1994) 3, pp. 269-292
Persistent link: https://www.econbiz.de/10001160847
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Indexing and stock market serial dependence around the world
Baltussen, Guido; Bekkum, Sjoerd van; Da, Zhi - In: Journal of financial economics 132 (2019) 1, pp. 26-48
Persistent link: https://www.econbiz.de/10012134770
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The jump-risk premia implicit in options : evidence from an integrated time-series study
Pan, Jun - In: Journal of financial economics 63 (2002) 1, pp. 3-50
Persistent link: https://www.econbiz.de/10001634368
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An empirical examination of information, differences of opinion, and trading activity
Bessembinder, Hendrik - In: Journal of financial economics 40 (1996) 1, pp. 105-134
Persistent link: https://www.econbiz.de/10001192319
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The relation between implied and realized volatility
Christensen, Bent Jesper - In: Journal of financial economics 50 (1998) 2, pp. 125-150
Persistent link: https://www.econbiz.de/10001250560
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Technical trading revisited : false discoveries, persistence tests, and transaction costs
Bajgrowicz, Pierre; Scaillet, Olivier - In: Journal of financial economics 106 (2012) 3, pp. 473-491
Persistent link: https://www.econbiz.de/10009710169
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Stock splits, stock prices, and transaction costs
Brennan, Michael J. - In: Journal of financial economics 1 (1988), pp. 83-101
Persistent link: https://www.econbiz.de/10001054655