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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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A marked point process model for intraday financial returns : modeling extreme risk
Herrera, Rodrigo; Clements, Adam - In: Empirical economics : a journal of the Institute for … 58 (2020) 4, pp. 1575-1601
Persistent link: https://www.econbiz.de/10012219662
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The effects of volatility on liquidity in the treasury market
Meldrum, Andrew; Sokolinskiy, Oleg - 2023
Persistent link: https://www.econbiz.de/10014284237
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Market liquidity and trading activity
Chordia, Tarun; Roll, Richard; Subrahmanyam, Avanidhar - In: The journal of finance : the journal of the American … 56 (2001) 2, pp. 501-530
Persistent link: https://www.econbiz.de/10001604100
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Trading liquidity and funding liquidityin fixed income markets: implications of market microstructure invariance
Kyle, Albert S.; Obižaeva, Anna - 2020
Persistent link: https://www.econbiz.de/10012494216
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A study of the lead-lag relationship between price change and trading volume in futures market using high-frequency data
Streeter, Denise W.; Najand, Mohammad; Dondeti, V. Reddy; … - In: International journal of bonds and derivatives 1 (2015) 4, pp. 284-301
Persistent link: https://www.econbiz.de/10011546737
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Thai financial markets and political change
Sutsarun Lumjiak; Sirimon Treepongkaruna; Wee, Marvin; … - In: Journal of financial management, markets and institutions 2 (2014) 1, pp. 5-26
Persistent link: https://www.econbiz.de/10011949641
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Market microstructure invariance: a dynamic equilibrium model
Kyle, Albert S.; Obižaeva, Anna - 2020
Persistent link: https://www.econbiz.de/10012494205
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Volume, Volatility and Momentum in Financial Markets
Davidsson, Marcus - 2014
In this paper we will discuss the relationship among volume, volatility and return momentum in global financial markets …. It turns out that when the volatility is large i.e. the difference between the daily high price and the daily low price … momentum return investment strategy. A significant amount of positive serial correlation was also found in the volatility and …
Persistent link: https://www.econbiz.de/10013056099
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Have capital market anomalies worldwide attenuated in the recent era of high liquidity and trading activity?
Auer, Benjamin R.; Rottmann, Horst - 2018
We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has significantly decreased exploitable returns of capital market anomalies in the US. Using a novel international dataset of arbitrage portfolio returns for four well-known...
Persistent link: https://www.econbiz.de/10011927961