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Limit order books and trade informativeness
Beltran Lopez, Helena; Gramming, Joachim; Menkveld, … - In: The European journal of finance 18 (2012) 9/10, pp. 737-759
Persistent link: https://www.econbiz.de/10009691782
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Modeling market fluctuations under investor sentiment with a Hawkes-Contact process
Zhang, Junhuan; Wen, Jiaqi; Chen, Jing - In: The European journal of finance 29 (2023) 1, pp. 17-32
Persistent link: https://www.econbiz.de/10014322445
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Implications of market microstructure for realized variance measurement
Djupsjöbacka, Daniel - In: The European journal of finance 16 (2010) 1/2, pp. 27-43
Persistent link: https://www.econbiz.de/10003954407
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Volatility of interest rates in the euro area : evidence from high frequency data
Cassola, Nuno; Morana, Claudio - In: The European journal of finance 12 (2006) 6/7, pp. 513-528
Persistent link: https://www.econbiz.de/10003382823
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Trading activity, trade costs and informed trading for acquisition targets and acquirers
Kryzanowski, Lawrence; Lazrak, Skander - In: The European journal of finance 13 (2007) 5/6, pp. 405-439
Persistent link: https://www.econbiz.de/10003570550
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Optimal informed trading in the foreign exchange market
Vitale, Paolo - In: The European journal of finance 18 (2012) 9/10, pp. 989-1013
Persistent link: https://www.econbiz.de/10009691771
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Price discovery in spot and futures markets : a reconsideration
Theissen, Erik - In: The European journal of finance 18 (2012) 9/10, pp. 969-987
Persistent link: https://www.econbiz.de/10009691772
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Trade size, high-frequency trading, and colocation around the world
Aitken, Michael J.; Cumming, Douglas J.; Zhan, Feng - In: The European journal of finance 23 (2017) 7/9, pp. 781-801
Persistent link: https://www.econbiz.de/10011740206
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Hawkes model specification for limit order books
Kirchner, Matthias; Vetter, Silvan - In: The European journal of finance 28 (2022) 7, pp. 642-662
Persistent link: https://www.econbiz.de/10013373306
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Non-parametric estimation of quadratic Hawkes processes for order book events
Fosset, Antoine; Bouchaud, Jean-Philippe; Benzaquen, Michael - In: The European journal of finance 28 (2022) 7, pp. 663-678
Persistent link: https://www.econbiz.de/10013373307