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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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Limit order submission risks, order choice, and tick size
Yamamoto, Ryuichi - In: Pacific-Basin finance journal 59 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012231313
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Liquidity and Information-Based Trading on the Order Driven Capital Market : The Case of Prague Stock Exchange
Nemecek, Libor - 2010
This paper investigates the relation between liquidity and information-based trading in the context of an order-driven auction. A model similar in spirit to that of Easley et al. (1996) is used to determine how often new information occurs and how it influences the composition of orders...
Persistent link: https://www.econbiz.de/10013148686
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The behavior of high-frequency traders under different market stress scenarios
Megarbane, Nicolas; Saliba, Pamela; Lehalle, Charles-Albert - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-54
Persistent link: https://www.econbiz.de/10011988891
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Adverse selection and liquidity: from theory to practice
Kyle, Albert S.; Obižaeva, Anna - 2020
Persistent link: https://www.econbiz.de/10012494209
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Liquidity commonality beyond best prices : Indian evidence
Tripathi, Abhinava; Vipul; Dixit, Alok - In: The journal of asset management 21 (2020) 4, pp. 355-373
Persistent link: https://www.econbiz.de/10012292805
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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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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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Private information disclosure in the secondary loan market and its impact on equity market trading costs
Saunders, Anthony; Shao, Pei; Xiao, Yuchao - In: Journal of financial markets 67 (2024), pp. 1-26
Persistent link: https://www.econbiz.de/10014491069
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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