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Wettbewerb, Liquidität und die Rolle von Intermediation im Wertpapierhandel

Freihube, Thorsten - 2004

Persistent link: https://www.econbiz.de/10002122262

Liquidity withdrawal in the FX spot market : a cross-country study using high-frequency data

Stenfors, Alexis; Susai, Masayuki - In: Journal of international financial markets, … 59 (2019), pp. 36-57

Persistent link: https://www.econbiz.de/10012127871

A reverse index futures split effect on liquidity and market dynamics

Athanasios, Fassas; Nikolas, Hourvouliades - In: International journal of bonds and derivatives 3 (2017) 3, pp. 235-252

Persistent link: https://www.econbiz.de/10011875992

Modeling dynamic diurnal patterns in high frequency financial data

Ito, Ryoko - 2013

Persistent link: https://www.econbiz.de/10009737686

A simple approximation of intraday spreads using daily data

Chung, Kee H.; Zhang, Hao - In: Journal of financial markets 17 (2014), pp. 94-120

Persistent link: https://www.econbiz.de/10010437266

Estimating endogenous liquidity using transaction and order book information

Durand, Philippe; Gündüz, Yalın; Thomazeau, Isabelle - 2012

We distinguish exogenous liquidity, which corresponds to the variability of bid-ask spreads for usual-sized transactions, from endogenous liquidity, which we interpret as the impact of liquidity on market prices when liquidating larger positions. Endogenous liquidity measures the risk that the...