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Stock liquidity premium with stochastic price impact and exogenous trading strategy

Stereńczak, Szymon - In: International review of financial analysis 71 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012435748

Insider trading, stochastic liquidity, and equilibrium prices

Collin-Dufresne, Pierre; Fos, Vyacheslav - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 4, pp. 1441-1475

Persistent link: https://www.econbiz.de/10011611102

The multiple dimensions of liquidity

Garabedian, Garo; Inghelbrecht, Koen - 2020

Persistent link: https://www.econbiz.de/10012793065

Order characteristics and the sources of commonality in prices and liquidity

Corwin, Shane Anthony; Lipson, Marc - In: Journal of financial markets 14 (2011) 1, pp. 47-81

Persistent link: https://www.econbiz.de/10009267113

Intraday liquidity patterns in limit order books

Malik, Azeem; Wing Lon Ng - In: Studies in economics and finance 31 (2014) 1, pp. 46-71

Persistent link: https://www.econbiz.de/10010258798

Order exposure and liquidity coordination : does hidden liquidity harm price efficiency?

Cebiroglu, Gökhan; Hautsch, Nikolaus; Horst, Ulrich - 2014

We develop a model of an order-driven exchange competing for order flow with off-exchange trading mechanisms. Liquidity … additional trade demand. We show, in equilibrium, hiding trade intentions can induce mis-coordination between liquidity supply … in prices and order flow after periods of high excess-supply of hidden liquidity. …

Persistent link: https://www.econbiz.de/10010411280

Order exposure and liquidity coordination : does hidden liquidity harm price efficiency?

Cebiroglu, Gökhan; Hautsch, Nikolaus; Horst, Ulrich - In: Market microstructure and liquidity 5 (2019) 1/4, pp. 1-52

Persistent link: https://www.econbiz.de/10012819933

Dark Trading at the Midpoint : Pricing Rules, Order Flow, and High Frequency Liquidity Provision

Bartlett, Robert P. - 2015

national best bid and offer. Enhanced order flow to dark venues reduces price competition by exchange liquidity providers …

Persistent link: https://www.econbiz.de/10013020713

The optimal bid-ask price strategies of high-frequency trading and the effect on market liquidity

Yang, Haijun; Ge, Hengshun; Luo, Ying - In: Research in international business and finance 53 (2020), pp. 1-21

Persistent link: https://www.econbiz.de/10012548917

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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