Narrow search
Showing 1 - 10 of 252,055
Cover Image
Which liquidity proxy measures liquidity best in emerging markets?
Ahn, Hee-joon; Chai, Joseph C. H.; Yang, Cheol-Won - In: Economies : open access journal 6 (2018) 4/67, pp. 1-29
This study empirically investigates the low-frequency liquidity proxies that best measure liquidity in emerging markets … comparing various low-frequency liquidity proxies with high-frequency spread measures and price impact measures. We find that …
Persistent link: https://www.econbiz.de/10011956319
Cover Image
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
Cover Image
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
Cover Image
A theory of very short-time price change : security price drivers in times of high-frequency trading
Virgilio, Gianluca P. M. - In: Financial innovation : FIN 8 (2022), pp. 1-34
previous volatility, scarce liquidity, high quantity exchanged, and stop-loss (SL) orders (seldom mentioned in the literature … volatility, liquidity, and SL orders as the main causes of excess volatility. However, contrary to mainstream literature on …, financial markets face many ultrafast orders, yet a coherent theory of price change at time scales incomprehensible by humans …
Persistent link: https://www.econbiz.de/10013272630
Cover Image
Optimal order display in limit order markets with liquidity competition
Cebiroglu, Gökhan; Horst, Ulrich - In: Journal of economic dynamics & control 58 (2015), pp. 81-100
Persistent link: https://www.econbiz.de/10011574644
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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