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Imperfect market-monitoring and soes trading

Foucault, Thierry - 1999

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Dynamic price discovery

Handa, Puneet; Schwartz, Robert A. - In: Review of quantitative finance and accounting 7 (1996) 1, pp. 5-28

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Market microstructure models and the Markov property

Amaro de Matos, João; Fernandes, Marcelo - 2000

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The logarithmic ACD model : an application to the bid-ask quote process of the NYSE stocks

Bauwens, Luc; Giot, Pierre - In: Annales d'économie et de statistique (2000), pp. 117-149

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The price impact of order book events

Cont, Rama; Kukanov, Arseniy; Stoikov, Sasha - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 47-88

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Wettbewerb, Liquidität und die Rolle von Intermediation im Wertpapierhandel

Freihube, Thorsten - 2004

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Daily Herding and Commonality in Liquidity on a Pure Limit Order Book Market

Edgar, Matthew - 2011

Pervasive herding may cause homogenous trading patterns, both within and across stocks and thus may impact upon an important aspect of the market microstructure – liquidity. Potentially, herding could simultaneously affect the liquidity of both individual stocks and that of the market. For...

Persistent link: https://www.econbiz.de/10013121143

How does short selling affect liquidity in financial markets?

Blau, Benjamin; Whitby, Ryan J. - In: Finance research letters 25 (2018), pp. 244-250

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Learning multi-market microstructure from order book data

Ju, Geonhwan; Kim, Kyoung-Kuk; Lim, Dong-Young - In: Quantitative finance 19 (2019) 9, pp. 1517-1529

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Bid-ask spread, quoted depths, and unexpected duration between trades

Ruan, Jun Tony; Ma, Tongshu - In: Journal of financial services research : JFSR 51 (2017) 3, pp. 385-436

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