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Trading imbalance, liquidity and stock returns : evidence from Brazil
Pereira, Gustavo Magno Lopes; Camilo-da-Silva, Eduardo; … - In: Latin American business review 21 (2020) 2, pp. 173-195
Persistent link: https://www.econbiz.de/10012258474
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Order flow imbalance effects on the German stock market
Hanke, Michael; Weigerding, Michael - In: Business research 8 (2015) 2, pp. 213-238
Order flow imbalance refers to the difference between market buy and sell orders during a given period. This paper is the first study to examine effects of order flow imbalance on returns of stocks traded on the German Xetra trading system on a daily basis. In contrast to previous studies on...
Persistent link: https://www.econbiz.de/10011488149
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Are odd-lot orders informed?
Upson, James; Johnson, B. Hardy, IV - In: The financial review : the official publication of the … 52 (2017) 1, pp. 37-67
Persistent link: https://www.econbiz.de/10011656865
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Are trading imbalances indicative of private information?
Kim, Sukwon Thomas; Stoll, Hans R. - In: Journal of financial markets 20 (2014), pp. 151-174
Persistent link: https://www.econbiz.de/10010442382
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The relative contribution of ask and bid quotes to price discovery
Pascual, Roberto; Pascual-Fuster, Bartolomé - In: Journal of financial markets 20 (2014), pp. 129-150
Persistent link: https://www.econbiz.de/10010442386
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Baidu news coverage and its impacts on order imbalance and large-size trade of Chinese stocks
Shen, Dehua; Li, Xiao; Zhang, Wei - In: Finance research letters 23 (2017), pp. 210-216
Persistent link: https://www.econbiz.de/10011808400
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Reflecting on the VPIN dispute
Andersen, Torben; Bondarenko, Oleg - In: Journal of financial markets 17 (2014), pp. 53-64
Persistent link: https://www.econbiz.de/10010436245
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VPIN and the flash crash
Andersen, Torben; Bondarenko, Oleg; O'Hara, Maureen - In: Journal of financial markets 17 (2014), pp. 1-46
Persistent link: https://www.econbiz.de/10010436257
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The relation between relative order imbalance and intraday futures returns : an application of the quantile regression model of Taiwan
Chang, Chiao-yi; Shie, Fu-shuen - In: Emerging markets finance & trade : a journal of the … 47 (2011) 3, pp. 69-87
Persistent link: https://www.econbiz.de/10009313728
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Algorithmic trading in turbulent markets
Zhou, Hao; Kalev, Petko S.; Frino, Alex - In: Pacific-Basin finance journal 62 (2020), pp. 1-27
Persistent link: https://www.econbiz.de/10012491255