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Price discovery in the US treasury market : automation vs. intermediation

Man, Kasing; Wang, Junbo; Wu, Chunchi - In: Management science : journal of the Institute for … 59 (2013) 3, pp. 695-714

Persistent link: https://www.econbiz.de/10009731238

A robust neighborhood truncation approach to estimation of integrated quarticity

Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - 2013

Persistent link: https://www.econbiz.de/10009735127

The impact of automation and high frequency trading on market quality

Litzenberger, Robert H.; Castura, Jeff; Gorelick, Richard - In: Annual review of financial economics 4 (2012), pp. 59-98

Persistent link: https://www.econbiz.de/10009690342

Price discovery in spot and futures markets : a reconsideration

Theissen, Erik - In: The European journal of finance 18 (2012) 9/10, pp. 969-987

Persistent link: https://www.econbiz.de/10009691772

Limit order books and trade informativeness

Beltran Lopez, Helena; Gramming, Joachim; Menkveld, … - In: The European journal of finance 18 (2012) 9/10, pp. 737-759

Persistent link: https://www.econbiz.de/10009691782

Have financial markets become more informative?

Bai, Jennie; Philippon, Thomas; Savov, Alexi - 2012

The finance industry has grown. Financial markets have become more liquid. Information technology has improved. But have prices become more informative? Using stock and bond prices to forecast earnings, we find that the information content of market prices has not increased since 1960. The...

Persistent link: https://www.econbiz.de/10009657611