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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
Persistent link: https://www.econbiz.de/10010233613
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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
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Daily Herding and Commonality in Liquidity on a Pure Limit Order Book Market
Edgar, Matthew - 2011
important aspect of the market microstructure – liquidity. Potentially, herding could simultaneously affect the liquidity of … 'commonality in liquidity' – a term which expresses the idea that the liquidity of individual stocks may have common determinants …. We find strong evidence of commonality in liquidity in what is the first study of this phenomenon since the ASX adopted …
Persistent link: https://www.econbiz.de/10013121143
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The term structure of liquidity provision
Conrad, Jennifer S.; Wahal, Sunil - In: Journal of financial economics 136 (2020) 1, pp. 239-259
Persistent link: https://www.econbiz.de/10012545428
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Size-adapted bond liquidity measures and their asset pricing implications
Reichenbacher, Michael; Schuster, Philipp - In: Journal of financial economics 146 (2022) 2, pp. 425-443
Persistent link: https://www.econbiz.de/10013482286
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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
Persistent link: https://www.econbiz.de/10012194803
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Investigating intertrade durations using copulas : an experiment with NASDAQ data
Chakravary, Ranjan R.; Pani, Sudhanshu - In: Algorithmic finance 9 (2022) 3/4, pp. 81-102
Persistent link: https://www.econbiz.de/10013459970
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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
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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
Persistent link: https://www.econbiz.de/10011777286
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High-Frequency trading and market performance
Baldauf, Markus; Mollner, Joshua - 2015
Persistent link: https://www.econbiz.de/10011338245