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Commonality in returns, order flows, and liquidity in the Greek stock market
Dunne, Peter G.; Moore, Michael J.; Papavassiliou, … - In: The European journal of finance 17 (2011) 7/8, pp. 577-587
Persistent link: https://www.econbiz.de/10009509845
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Liquidity measures and cost of trading in an illiquid market
Armitage, Seth; Brzeszczyński, Janusz; Serdyuk, Anna - In: Journal of emerging market finance 13 (2014) 2, pp. 155-196
Persistent link: https://www.econbiz.de/10011378280
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Market fragmentation of securities market : traditional exchanges versus alternate trading venues
Kohli, Rasmeet - In: Macroeconomics and finance in emerging market economies 7 (2014) 2, pp. 303-314
Persistent link: https://www.econbiz.de/10010436252
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Uncertain execution in order-driven markets
Sánchez-Betancourt, Leandro - 2021
Persistent link: https://www.econbiz.de/10012939003
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Liquidity in high resolution in limit order markets
Pani, Sudhanshu - In: International Journal of Financial Markets and … 8 (2021) 1, pp. 23-49
Persistent link: https://www.econbiz.de/10012510329
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Trading liquidity and funding liquidityin fixed income markets: implications of market microstructure invariance
Kyle, Albert S.; Obižaeva, Anna - 2020
Persistent link: https://www.econbiz.de/10012494216
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Queue imbalance as a one-tick-ahead price predictor in a limit order book
Gould, Martin; Bonart, Julius - In: Market microstructure and liquidity 2 (2016) 2, pp. 1-35
Persistent link: https://www.econbiz.de/10011588243
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The behavior of high-frequency traders under different market stress scenarios
Megarbane, Nicolas; Saliba, Pamela; Lehalle, Charles-Albert - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-54
Persistent link: https://www.econbiz.de/10011988891
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Is competition beneficial? : the case of exchange traded funds
Kharma, Céline; Delalay, Sylvain - In: Essays on exchange traded funds, market quality and …, (pp. 1-35). 2018
The first paper is co-authored with Sylvain Delalay. We examine the impact of competition between ETFs on measures of market quality of the funds. The surge in new ETF creation has for consequence that groups of competing ETFs are increasingly crowded, and investors can choose from a multitude...
Persistent link: https://www.econbiz.de/10011962532
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Toward a fully continuous exchange
Kyle, Albert S.; Lee, Jeongmin - In: Oxford review of economic policy 33 (2017) 4, pp. 650-675
Persistent link: https://www.econbiz.de/10011952562