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Bid-ask spreads and the over-the-counter interdealer markets : core and peripheral dealers
Neklyudov, Artem - In: Review of economic dynamics 33 (2019), pp. 57-84
Persistent link: https://www.econbiz.de/10012312178
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Transparency matters : price formation in the presence of order preferencing
Lescourret, Laurence; Robert, Christian Yann - In: Journal of financial markets 14 (2011) 2, pp. 227-258
Persistent link: https://www.econbiz.de/10009266998
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The impact of market maker copetition on market quality : evidence from an options exchange
Aspris, Angelo; Frino, Alex; Lepone, Andrew - In: Australasian accounting business and finance journal : AABF 6 (2012) 5, pp. 23-46
Persistent link: https://www.econbiz.de/10010244999
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Commonality in equity options liquidity : evidence from European markets
Verousis, Thanos; Ap Gwilym, Owain; Voukelatos, Nikolaos - In: The European journal of finance 22 (2016) 10/12, pp. 1204-1223
Persistent link: https://www.econbiz.de/10011715347
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Comprehensive market microstructure model : considering the inventory holding costs
Ryu, Doojin - In: Journal of business economics and management 18 (2017) 2, pp. 183-201
Persistent link: https://www.econbiz.de/10011721742
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Three essays in market microstructure
Zabotina, Tatyana V. - 2002
Persistent link: https://www.econbiz.de/10003777581
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Jumps in option prices and their determinants : real-time evidence from the E-mini S&P 500 options market
Kapetanios, George; Konstantinidi, Eirini; Neumann, Michael - In: Journal of financial markets 46 (2019), pp. 1-26
Persistent link: https://www.econbiz.de/10012317888
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Bid-Ask Spread and Liquidity Searching Behaviour of Informed Investors in Option Markets
Bernales, Alejandro - 2019
We show evidence of a liquidity searching behaviour of informed investors in option listings, which was also found by … find that the option bid-ask spread may be still a good proxy for informed trading, despite of the liquidity searching … traders avoid trading in initial periods after listing dates due to the low liquidity environment), which is steeper for …
Persistent link: https://www.econbiz.de/10012892614
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Siphoned apart : a portfolio perspective on order flow segmentation
Baldauf, Markus; Mollner, Joshua; Yueshen, Bart Zhou - In: Journal of financial economics 154 (2024), pp. 1-23
Persistent link: https://www.econbiz.de/10015072187
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Volatility uncertainty, time decay, and option bid-ask spreads in an incomplete market
Hsieh, PeiLin; Jarrow, Robert A. - In: Management science : journal of the Institute for … 65 (2019) 4, pp. 1833-1854
Persistent link: https://www.econbiz.de/10012022670