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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

Optimal trade execution for Gaussian signals with power-law resilience

Forde, Martin; Sánchez-Betancourt, Leandro; Smith, Benjamin - In: Quantitative finance 22 (2022) 3, pp. 585-596

Persistent link: https://www.econbiz.de/10013167782

Estimating probability of informed trading on the Bucharest stock exchange

Cepoi, Cosmin Octavian; Toma, Filip Mihai - In: Finance a úvěr 66 (2016) 2, pp. 140-160

Persistent link: https://www.econbiz.de/10011618713

Private information flow and price discovery in the US treasury market

Jiang, George J.; Lo, Ingrid - In: Journal of banking & finance 47 (2014), pp. 118-133

Persistent link: https://www.econbiz.de/10010506499

Measuring Price Impact and Information Content of Trades in a Time-Varying Setting

Campigli, Francesco; Bormetti, Giacomo; Lillo, Fabrizio - 2023

The estimation of market impact is crucial for measuring the information content of trades and for transaction cost analysis. Hasbrouck's (1991) seminal paper proposed a Structural-VAR (S-VAR) to jointly model mid-quote changes and trade signs. Recent literature has highlighted some pitfalls of...

Persistent link: https://www.econbiz.de/10014255241