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Wettbewerb, Liquidität und die Rolle von Intermediation im Wertpapierhandel
Freihube, Thorsten - 2004
Persistent link: https://www.econbiz.de/10002122262
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Price dynamics and market liquidity : an intraday event study on Euronext
Mazza, Paolo - In: The quarterly review of economics and finance : journal … 56 (2015), pp. 139-153
Persistent link: https://www.econbiz.de/10011574367
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Optimal Liquidation in a Level-I Limit Order Book for Large Tick Stocks
Jacquier, Antoine (Jack) - 2017
-Markov decision process, and compute the semi-Markov kernel using Laplace method in the language of queueing theory. The optimal …
Persistent link: https://www.econbiz.de/10012965973
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A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Hautsch, Nikolaus - 2009
We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...
Persistent link: https://www.econbiz.de/10003909174
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A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C.A. - 2009
We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...
Persistent link: https://www.econbiz.de/10003893144
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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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An empirical analysis of the Shanghai and Shenzhen limit order books
Chung, Huimin; Gao, Cheng; Lu, Jie; Mizrach, Bruce Marshall - In: Economic modelling 34 (2013), pp. 37-41
Persistent link: https://www.econbiz.de/10010360623
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The impact of upstairs trading on market quality : evidence from a highly segmented market
Białkowski, Je̜drzej; Hong, Sanghyun; Wagner, Moritz - In: New Zealand economic papers 56 (2022) 3, pp. 326-332
Persistent link: https://www.econbiz.de/10013459654
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Passive investors and concentration of intraday liquidity : evidence from the Tokyo Stock Exchange
Kitajima, Kiichi - In: Pacific-Basin finance journal 74 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013389468
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Stock repurchases and liquidity
Hillert, Alexander; Maug, Ernst; Obernberger, Stefan - In: Journal of financial economics 119 (2016) 1, pp. 186-209
Persistent link: https://www.econbiz.de/10011589751