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Estimates of the short-term rate process in an arbitrage-free framework

Kazemi, Hossein; Mahdavi, Mahnaz; Salazar, Brett - In: International journal of theoretical and applied finance 7 (2004) 5, pp. 577-589

Persistent link: https://www.econbiz.de/10002171480

Liquidity commonality and high frequency trading: evidence from the French stock market

Anagnostidis, Panagiotis; Fontaine, Patrice - In: International review of financial analysis 69 (2020), pp. 1-20

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Competition between exchanges : Euronext versus Xetra

Kasch-Haroutounian, Maria (contributor); … - 2006

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Does anonymity matter in electronic limit order markets?

Foucault, Thierry; Moinas, Sophie; Theissen, Erik - 2004 - This Draft: May, 2004

We develop a model of limit order trading in which some traders have better information on future price volatility. As … visible. In either design, a large (resp. small) spread signals that informed limit order traders expect volatility to be high … (resp. low). However the quality of this signal and market liquidity are different in each market design. We test these …

Persistent link: https://www.econbiz.de/10010361995