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Tick size and price reversal after order imbalance
Sirnes, Espen; Minh Thi Hong Dinh - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-13
pressure on the bid or ask side. This suggests that liquidity providers "overreact" to order imbalance (OIB) by initially … this behavior is most common. Specifically, it seems the tick size augments "OIB-reversal". However, if the tick size is …
Persistent link: https://www.econbiz.de/10012508868
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The market microstructure of the European climate exchange
Mizrach, Bruce; Otsubo, Yoichi - In: Journal of Banking & Finance 39 (2014) C, pp. 107-116
This paper analyzes the market microstructure of the European Climate Exchange, the largest EU ETS trading venue. The ECX captures 2/3 of the screen traded market in EUA and more than 90% in CER. Volume growth has averaged 277% in EUA between 2005 and 2009 and 724% in CER since 2007. Spreads...
Persistent link: https://www.econbiz.de/10011065713
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The market microstructure of the European climate exchange
Mizrach, Bruce Marshall; Otsubo, Yoichi - In: Journal of banking & finance 39 (2014), pp. 107-116
Persistent link: https://www.econbiz.de/10010340767
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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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Information content of order imbalance in an order-driven market : Indian evidence
Tripathi, Abhinava; Dixit, Alok; Vipul - In: Finance research letters 41 (2021), pp. 1-10
Persistent link: https://www.econbiz.de/10013336223
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Large bets and stock market crashes
Kyle, Albert S.; Obižaeva, Anna - 2020
Persistent link: https://www.econbiz.de/10012494212
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Optimal execution horizon
Easley, David; López de Prado, Marcos M.; O'Hara, Maureen - In: Mathematical finance : an international journal of … 25 (2015) 3, pp. 640-672
Persistent link: https://www.econbiz.de/10011350553
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Liquidity measures and cost of trading in an illiquid market
Armitage, Seth; Brzeszczyński, Janusz; Serdyuk, Anna - In: Journal of emerging market finance 13 (2014) 2, pp. 155-196
Persistent link: https://www.econbiz.de/10011378280
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Dynamic portfolio execution
Tsoukalas, Gerry; Wang, Jiang; Giesecke, Kay - In: Management science : journal of the Institute for … 65 (2019) 5, pp. 2015-2040
Persistent link: https://www.econbiz.de/10012039722
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Liquidity in the German stock market
Johann, Thomas; Scharnowski, Stefan; Theissen, Erik; … - 2019
This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We make use of a new publicly available dataset, the Market...
Persistent link: https://www.econbiz.de/10012020325