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Commonality in liquidity: evid...
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The journal of trading
21
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Market microstructure and liquidity
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Research in international business and finance
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ECONIS (ZBW)
1,089
RePEc
2
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1
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1,091
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1
Market fragmentation of securities market : traditional exchanges versus alternate trading venues
Kohli, Rasmeet
- In:
Macroeconomics and finance in emerging market economies
7
(
2014
)
2
,
pp. 303-314
Persistent link: https://www.econbiz.de/10010436252
Saved in:
2
Uncertain execution in order-driven markets
Sánchez-Betancourt, Leandro
-
2021
Persistent link: https://www.econbiz.de/10012939003
Saved in:
3
Queue imbalance as a one-tick-ahead price predictor in a limit order book
Gould, Martin
;
Bonart, Julius
- In:
Market microstructure and liquidity
2
(
2016
)
2
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011588243
Saved in:
4
The behavior of high-frequency traders under different market stress scenarios
Megarbane, Nicolas
;
Saliba, Pamela
;
Lehalle, Charles-Albert
- In:
Market microstructure and liquidity
3
(
2017
)
3/4
,
pp. 1-54
Persistent link: https://www.econbiz.de/10011988891
Saved in:
5
Toward a fully continuous exchange
Kyle, Albert S.
;
Lee, Jeongmin
- In:
Oxford review of economic policy
33
(
2017
)
4
,
pp. 650-675
Persistent link: https://www.econbiz.de/10011952562
Saved in:
6
Single- and multiplayer trade execution strategies under transient price impact
Strehle, Elias
-
2017
Persistent link: https://www.econbiz.de/10012197703
Saved in:
7
Commonality in liquidity in the context of different trading systems : evidence from an emerging market
Tayeh, Mohammad
- In:
International journal of economics and financial issues …
6
(
2016
)
4
,
pp. 1344-1353
Persistent link: https://www.econbiz.de/10011774856
Saved in:
8
Inferring trade directions in fast markets
Jurkatis, Simon Willi
-
2020
Persistent link: https://www.econbiz.de/10012597973
Saved in:
9
Price discovery in the U.S. Treasury cash market : on principal trading firms and dealers
Harkrader, James Collin
;
Puglia, Michael
-
2020
Persistent link: https://www.econbiz.de/10012389832
Saved in:
10
Deep order flow imbalance : extracting alpha at multiple horizons from the limit order book
Kolm, Petter N.
;
Turiel, Jeremy
;
Westray, Nicholas
- In:
Mathematical finance : an international journal of …
33
(
2023
)
4
,
pp. 1044-1081
Persistent link: https://www.econbiz.de/10014370626
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