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Asymmetric responses of ask and bid quotes to information in the foreign exchange market
Chen, Yu-lun; Gau, Yin-feng - In: Journal of banking & finance 38 (2014), pp. 194-204
Persistent link: https://www.econbiz.de/10010340779
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Estimating the proportion of informed and speculative traders in financial markets : evidence from exchange rate
Tsai, Ping-Chen; Tsai, Chi-Ming - In: Journal of economic interaction and coordination 16 (2021) 3, pp. 443-470
Persistent link: https://www.econbiz.de/10012547028
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Information shares in a two-tier FX market
Piccotti, Louis R.; Shraiber, Bentsi - In: Journal of empirical finance 58 (2020), pp. 19-35
Persistent link: https://www.econbiz.de/10012430449
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The role of private information in return volatility, bid-ask spreads and price levels in the foreign exchange market
McGroarty, Frank; Ap Gwilym, Owain; Thomas, Stephen - In: Journal of international financial markets, … 19 (2009) 2, pp. 387-401
Persistent link: https://www.econbiz.de/10003800028
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Adverse selection and liquidity: from theory to practice
Kyle, Albert S.; Obižaeva, Anna - 2020
Persistent link: https://www.econbiz.de/10012494209
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Commonality in liquidity : lessons from an emerging stock market
Tissaoui, Kais; Ftiti, Zied; Aloui, Chaker - In: The journal of applied business research 31 (2015) 5, pp. 1927-1951
Persistent link: https://www.econbiz.de/10011412496
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Limit order book (LOB) shape modeling in presence of heterogeneously informed market participants
Drame, Mouhamad - In: Market microstructure and liquidity 5 (2019) 1/4, pp. 1-35
Persistent link: https://www.econbiz.de/10012820075
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Strategic insider trading equilibrium with a non-fiduciary market maker
Aase, Knut K.; Øksendal, Bernt K. - 2019
Persistent link: https://www.econbiz.de/10012178138
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Need for speed? : exchange latency and liquidity
Menkveld, Albert J.; Zoican, Marius A. - 2014
Speeding up the exchange does not necessarily improve liquidity. The price quotes of high-frequency market makers are more likely to meet speculative high-frequency "bandits", thus less likely to meet liquidity traders. The bid-ask spread is raised in response. The recursive dynamic model...
Persistent link: https://www.econbiz.de/10010384388
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Optimal liquidation and adverse selection in dark pools
Kratz, Peter; Schöneborn, Torsten - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 177-210
Persistent link: https://www.econbiz.de/10011969158