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The relation between intraday limit order book depth and spread
Aidov, Alexandre; Lobanova, Olesya - In: International Journal of Financial Studies : open … 9 (2021) 4, pp. 1-13
Prior studies that examine the relation between market depth and bid-ask spread are often limited to the first level of the limit order book. However, the full limit order book provides important information beyond the first level about the depth and spread, which affects the trading decisions...
Persistent link: https://www.econbiz.de/10012698289
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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
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Unscheduled news and market dynamics
Dugast, Jérôme - 2017
Persistent link: https://www.econbiz.de/10011817639
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Short sales restrictions and market quality : evidence from Korea
Eom, Yunsung; Hahn, Jaehoon; Sohn, Wook - In: Journal of behavioral and experimental finance 30 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012814893
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A study of the lead-lag relationship between price change and trading volume in futures market using high-frequency data
Streeter, Denise W.; Najand, Mohammad; Dondeti, V. Reddy; … - In: International journal of bonds and derivatives 1 (2015) 4, pp. 284-301
Persistent link: https://www.econbiz.de/10011546737
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Econometric analysis of financial derivatives: an overview
Chang, Chia-Lin; McAleer, Michael - In: Journal of econometrics 187 (2015) 2, pp. 403-407
Persistent link: https://www.econbiz.de/10011499624
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The effects of margin changes on the composition of traders and market liquidity : evidence from the Taiwan futures exchange
Chou, Robin K.; Wang, George H. K.; Wang, Yun-Yi - In: The journal of futures markets 35 (2015) 10, pp. 894-915
Persistent link: https://www.econbiz.de/10011392699
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Volatility-volume causality across single stock spot-futures markets in India
Jain, Anshul; Biswal, Pratap Chandra; Ghosh, Sajal - In: Applied economics 48 (2016) 34/36, pp. 3228-3243
Persistent link: https://www.econbiz.de/10011617173
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Econometric analysis of financial derivatives : an overview
Chang, Chia-Lin; McAleer, Michael - 2014
, including market-based estimation of stochastic volatility models, the fine structure of equity-index option dynamics, leverage … and feedback effects in multifactor Wishart stochastic volatility for option pricing, option pricing with non …-Gaussian scaling and infinite-state switching volatility, stock return and cash flow predictability: the role of volatility risk, the …
Persistent link: https://www.econbiz.de/10010465152
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Econometric analysis of financial derivatives : an overview
Chang, Chia-Lin; McAleer, Michael - 2014
Persistent link: https://www.econbiz.de/10011296515