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Limit order trading and information asymmetry : empirical evidence about the evolution of liquidity on an order driven market
Allen, David E. (contributor); Yang, Joey W. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003760003
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Three essays in financial economics under asymmetric information
Strobl, Günter - 2005
Persistent link: https://www.econbiz.de/10003554471
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The impact of competition and information on intraday trading
Malinova, Katya; Park, Andreas - In: Journal of banking & finance 44 (2014), pp. 55-71
Persistent link: https://www.econbiz.de/10010409963
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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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Enhancing trading strategies with order book signals
Cartea, Álvaro; Donnelly, Ryan; Jaimungal, Sebastian - In: Applied mathematical finance 25 (2018) 1/2, pp. 1-35
Persistent link: https://www.econbiz.de/10011959112
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Informed trading intensity
Bogousslavsky, Vincent; Fos, Vyacheslav; Muravyev, Dmitriy - In: The journal of finance : the journal of the American … 79 (2024) 2, pp. 903-948
Persistent link: https://www.econbiz.de/10014535294
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Informed Trading Intensity
Bogousslavsky, Vincent; Fos, Vyacheslav; Muravyev, Dmitriy - 2022
We train a machine learning method on a class of informed trades to develop a new measure of informed trading, the Informed Trading Intensity (``ITI''). ITI increases before earnings, M&A, and news announcements, and has implications for return reversal and asset pricing. ITI is effective...
Persistent link: https://www.econbiz.de/10014258813
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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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Learning, information processing and order submission in limit order markets
Chiarella, Carl; He, Xue-zhong; Wei, Lijian - In: Journal of economic dynamics & control 61 (2015), pp. 245-268
Persistent link: https://www.econbiz.de/10011589535
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Information and optimal trading strategies with dark pools
Bayona, Anna; Dumitrescu, Ariadna; Manzano Tovar, Carolina - In: Economic modelling 126 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014462407