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Liquidity in high resolution in limit order markets
Pani, Sudhanshu - In: International Journal of Financial Markets and … 8 (2021) 1, pp. 23-49
Persistent link: https://www.econbiz.de/10012510329
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Do algorithmic traders improve liquidity when information asymmetry is high?
Jain, Archana; Jain, Chinmay; Khanapure, Revansiddha … - In: The quarterly journal of finance 11 (2021) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10012649846
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How does short selling affect liquidity in financial markets?
Blau, Benjamin; Whitby, Ryan J. - In: Finance research letters 25 (2018), pp. 244-250
Persistent link: https://www.econbiz.de/10012003551
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Multiple markets, algorithmic trading, and market liquidity
Upson, James; Van Ness, Robert A. - In: Journal of financial markets 32 (2017), pp. 49-68
Persistent link: https://www.econbiz.de/10011814965
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Price impact and bursts in liquidity provision
Gençay, Ramazan; Mahmoodzadeh, S.; Rojček, Jakub; … - In: Quantitative finance 18 (2018) 7, pp. 1129-1148
Persistent link: https://www.econbiz.de/10011911529
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Large bets and stock market crashes
Kyle, Albert S.; Obižaeva, Anna - In: Review of finance : journal of the European Finance … 27 (2023) 6, pp. 2163-2203
Persistent link: https://www.econbiz.de/10014445768
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Price dynamics and market liquidity : an intraday event study on Euronext
Mazza, Paolo - In: The quarterly review of economics and finance : journal … 56 (2015), pp. 139-153
Persistent link: https://www.econbiz.de/10011574367
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Trading fees and efficiency in limit order markets
Colliard, Jean-Edouard; Foucault, Thierry - In: The review of financial studies 25 (2012) 11, pp. 3389-3421
Persistent link: https://www.econbiz.de/10009681906
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Illiquidity, duration and momentum profits: evidence from the Korean stock market
Bae, Jaewan; Lee, Changjun - In: Journal of derivatives and quantitative studies 29 (2021) 1, pp. 49-72
This paper examines the role of illiquidity and duration factor in understanding the momentum profit in the Korean stock market. We find that the foreigner/institutional illiquidity factor explains the momentum effect. In addition, this paper finds that duration factor defined as the difference...
Persistent link: https://www.econbiz.de/10012592791
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Heterogeneous noisy beliefs and dynamic competition in financial markets
Boco, Hervé; Germain, Laurent; Rousseau, Fabrice - In: Economic modelling 54 (2016), pp. 347-363
Persistent link: https://www.econbiz.de/10011642190