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Trading Costs and Priced Illiquidity in High Frequency Trading Markets
Barardehi, Yashar H.; Bernhardt, Dan; Davies, Ryan J. - 2021
, due to endogenous variation in liquidity provision and consumption. After controlling for this endogenity, price impacts …
Persistent link: https://www.econbiz.de/10013241217
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The market impact puzzle
Kyle, Albert S.; Obižaeva, Anna - 2020
Persistent link: https://www.econbiz.de/10012494214
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How aggressive are high-frequency traders?
Hagströmer, Björn; Nordén, Lars; Zhang, Dong - In: The financial review : the official publication of the … 49 (2014) 2, pp. 395-419
Persistent link: https://www.econbiz.de/10010363573
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Investor sentiment, limited arbitrage, and the cash holding effect
Li, Xiafei; Luo, Di - In: Review of finance : journal of the European Finance … 21 (2017) 6, pp. 2141-2168
Persistent link: https://www.econbiz.de/10011804685
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High-frequency trading : a literature review
Virgilio, Gianluca Piero Maria - In: Financial markets and portfolio management 33 (2019) 2, pp. 183-208
Persistent link: https://www.econbiz.de/10012113804
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The multiple dimensions of liquidity
Garabedian, Garo; Inghelbrecht, Koen - 2020
Persistent link: https://www.econbiz.de/10012793065
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You need three butterflies to cause a Hurricane
Virgilio, Gianluca Piero Maria - In: Scientific Annals of Economics and Business 67 (2020) 1, pp. 139-155
Persistent link: https://www.econbiz.de/10012415469
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What are the best liquidity proxies for global research?
Fong, Kingsley Y. L.; Holden, Craig W.; Trzcinka, Charles - In: Review of finance : journal of the European Finance … 21 (2017) 4, pp. 1355-1401
Persistent link: https://www.econbiz.de/10011803836
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Which liquidity proxy measures liquidity best in emerging markets?
Ahn, Hee-joon; Chai, Joseph C. H.; Yang, Cheol-Won - In: Economies : open access journal 6 (2018) 4/67, pp. 1-29
This study empirically investigates the low-frequency liquidity proxies that best measure liquidity in emerging markets … comparing various low-frequency liquidity proxies with high-frequency spread measures and price impact measures. We find that …
Persistent link: https://www.econbiz.de/10011956319
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Liquidity shocks and equilibrium liquidity premia
Huang, Ming - In: Journal of economic theory 109 (2003) 1, pp. 104-129
Persistent link: https://www.econbiz.de/10001759577