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Transaction costs on the Swiss stock exchange

Ranaldo, Angelo - In: Financial markets and portfolio management 16 (2002) 1, pp. 53-68

Persistent link: https://www.econbiz.de/10001715556

Order aggressiveness in limit order book markets

Ranaldo, Angelo - In: Journal of financial markets 7 (2004) 1, pp. 53-74

Persistent link: https://www.econbiz.de/10001869003

Internet Appendix to 'A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices'

Abdi, Farshid - 2017

This supplemental appendix extends the main paper by presenting additional analyses and robustness checks. It also describes the procedure to construct the Monthly TAQ effective spread benchmark.The paper "A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices" to which...

Persistent link: https://www.econbiz.de/10012968801

A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices

Abdi, Farshid - 2017

estimator has many potential applications, including an accurate measurement of transaction cost, systematic liquidity risk, and … commonality in liquidity for U.S. stocks dating back almost one century. The appendix to "A Simple Estimation of Bid-Ask Spreads …

Persistent link: https://www.econbiz.de/10012970138

A simple estimation of bid-ask spreads from daily close, high, and low prices

Abdi, Farshid; Ranaldo, Angelo - 2017 - This version: April 2017

Persistent link: https://www.econbiz.de/10011686431

A simple estimation of bid-ask spreads from daily close, high, and low prices

Abdi, Farshid; Ranaldo, Angelo - In: The review of financial studies 30 (2017) 12, pp. 4437-4480

Persistent link: https://www.econbiz.de/10011924584

Intraday patterns in FX returns and order flow

Breedon, Francis J.; Ranaldo, Angelo - In: Journal of money, credit and banking : JMCB 45 (2013) 5, pp. 953-965

Persistent link: https://www.econbiz.de/10010197597

Precious metals under the microscope : a high-frequency analysis

Caporin, Massimiliano; Ranaldo, Angelo; Velo, Gebriel G. - 2014

, volume, and selected liquidity measures. We find clear evidence of periodic patterns matching the trading hours of the most …

Persistent link: https://www.econbiz.de/10010407214

Understanding FX liquidity

Karnaukh, Nina; Ranaldo, Angelo; Söderlind, Paul - 2014 - This version: March 2014

We provide a comprehensive study of the liquidity of spot foreign exchange (FX) rates over more than two decades and a … large cross-section of currencies. First, we show that FX liquidity can be accurately measured with daily and readily …-available data. Second, we demonstrate that FX liquidity declines with funding constraints and global risk, supporting theoretical …

Persistent link: https://www.econbiz.de/10010410328

Unsecured and secured funding

Di Filippo, Mario; Ranaldo, Angelo; Wrampelmeyer, Jan - 2016

Persistent link: https://www.econbiz.de/10011686871