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Algorithmic trading, liquidity, and price discovery : an intraday analysis of the SPI 200 futures
Viljoen, Tina; Westerholm, P. Joakim; Zheng, Hui - In: The financial review : the official publication of the … 49 (2014) 2, pp. 245-270
Persistent link: https://www.econbiz.de/10010363593
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Technical trading rules in Australian financial markets
Park, Jung Soo; Heaton, Christopher - In: International journal of economics and finance 6 (2014) 10, pp. 67-75
Persistent link: https://www.econbiz.de/10010421595
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High-frequency volatility and liquidity
Hautsch, Nikolaus; Jeleskovic, Vahidin - In: Applied quantitative finance, (pp. 379-397). 2009
Persistent link: https://www.econbiz.de/10003746425
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Liquidity and Price Discovery of Algorithmic Trading : An Intraday Analysis of the SPI 200 Futures
Prodromou, Tina - 2014
We study the intra-day impact of algorithmic trading on the futures market to increase our understanding of algorithmic trading and its role in the price formation process. First, we find that algorithmic trading provides liquidity when the spread is wide and that algorithms enter the market at...
Persistent link: https://www.econbiz.de/10013067530
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What order flow reveals about the role of the underwriter in IPO aftermarks
Aitken, Michael J.; Harris, Frederick H. deB.; McInish, … - In: International journal of managerial finance : IJMF 5 (2009) 1, pp. 16-49
Persistent link: https://www.econbiz.de/10003935276
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Are retail investors the culprits? : evidence from Autralian individual stock price bubbles
Henker, Julia; Henker, Thomas - In: The European journal of finance 16 (2010) 3/4, pp. 281-304
Persistent link: https://www.econbiz.de/10003996402
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The impact of undisclosed vs. disclosed limit orders : evidence from inter-day returns, signalling, information effects on the ASX
Allen, David E.; Cheng, Alexander Shu-sing; Yang, Joey … - 2007
Persistent link: https://www.econbiz.de/10003669080
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Transaction duration and asymmetric price impact of trades : evidence from Australia
Yang, Joey Wenling - In: Journal of empirical finance 18 (2011) 1, pp. 91-102
Persistent link: https://www.econbiz.de/10009301172
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Individual investors' trading activities and price volatility
Huu Nhan Duong; Kalev, Petko S. - In: Market microstructure and nonlinear dynamics : keeping …, (pp. 155-188). 2014
Persistent link: https://www.econbiz.de/10010480468
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The impact of trading halts on liquidity and price volatility : evidence from the Australian stock exchange
Frino, Alex; Lecce, Steven; Segara, Reuben - In: Pacific-Basin finance journal 19 (2011) 3, pp. 298-307
Persistent link: https://www.econbiz.de/10009271683