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Bid- and ask-side liquidity in the NYSE limit order book
Cenesizoglu, Tolga; Grass, Gunnar - In: Journal of financial markets 38 (2018), pp. 14-38
Persistent link: https://www.econbiz.de/10012001137
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VPIN and the Flash Crash : a rejoinder
Easley, David; López de Prado, Marcos M.; O'Hara, Maureen - In: Journal of financial markets 17 (2014), pp. 47-52
Persistent link: https://www.econbiz.de/10010436247
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VPIN and the flash crash
Andersen, Torben; Bondarenko, Oleg; O'Hara, Maureen - In: Journal of financial markets 17 (2014), pp. 1-46
Persistent link: https://www.econbiz.de/10010436257
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The microstructure of the "flash crash" : flow toxicity, liquidity crashes, and the probability of informed trading
Easley, David; Prado, Marcos M. López de; O'Hara, Maureen - In: The journal of portfolio management : a publication of … 37 (2010/11) 2, pp. 118-128
Persistent link: https://www.econbiz.de/10009273900
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The near-collapse of LTCM, US financial stock returns, and the fed
Kabir, M.Humayun; Hassan, M. Kabir - In: Journal of banking & finance 29 (2005) 2, pp. 441-460
Persistent link: https://www.econbiz.de/10002485314
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Was there front running during the LTCM crisis?
Cai, Fang - 2003
Persistent link: https://www.econbiz.de/10001746150
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The Microstructure of the ‘Flash Crash’ : Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading
Easley, David - 2019
The ‘flash crash' of May 6th 2010 was the second largest point swing (1,010.14 points) and the biggest one-day point decline (998.5 points) in the history of the Dow Jones Industrial Average. For a few minutes, $1 trillion in market value vanished. In this paper, we argue that the ‘flash...
Persistent link: https://www.econbiz.de/10012906008
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Informed trading in S&P index options? : evidence from the 2008 financial crisis
Li, Wei-Xuan; French, Joseph J.; Chen, Clara Chia-Sheng - In: Journal of empirical finance 42 (2017), pp. 40-65
Persistent link: https://www.econbiz.de/10011808543
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Scheduled macro-news effects on a Euro/US dollar limit order book around the 2008 financial crisis
Ben Omrane, Walid; Tao, Yusi; Welch, Robert L. - In: Research in international business and finance 42 (2017), pp. 9-30
Persistent link: https://www.econbiz.de/10011747218
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Market microstructure during financial crisis : dynamics of informed and heuristic-driven trading
Ormos, Mihály; Timotity, Dusán - In: Finance research letters 19 (2016), pp. 60-66
Persistent link: https://www.econbiz.de/10011657448