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Order imbalance, liquidity, and market returns

Chordia, Tarun; Roll, Richard; Subrahmanyam, Avanidhar - In: Stock market liquidity : implications for market …, (pp. 3-21). 2008

Persistent link: https://www.econbiz.de/10003650440

Options trading activity and firm valuation

Roll, Richard; Schwartz, Eduardo S.; Subrahmanyam, Avanidhar - In: Journal of financial economics 94 (2009) 3, pp. 345-360

Persistent link: https://www.econbiz.de/10003918726

Recent trends in trading activity and market quality

Chordia, Tarun; Roll, Richard; Subrahmanyam, Avanidhar - In: Journal of financial economics 101 (2011) 2, pp. 243-263

Persistent link: https://www.econbiz.de/10009242865

Trading activity in the equity market and its contingent claims : an empirical investigation

Roll, Richard; Schwartz, Eduardo S.; Subrahmanyam, Avanidhar - In: Journal of empirical finance 28 (2014), pp. 13-35

Persistent link: https://www.econbiz.de/10011284514

O/S : the relative trading activity in options and stock

Roll, Richard; Schwartz, Eduardo S.; Subrahmanyam, Avanidhar - In: Journal of financial economics 96 (2010) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10003968029

Order imbalance, liquidity, and market returns

Chordia, Tarun; Roll, Richard; Subrahmanyam, Avanidhar - In: Journal of financial economics 65 (2002) 1, pp. 111-130

Persistent link: https://www.econbiz.de/10001690219

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

Determinants of daily fluctuations in liquidity and trading activity

Chordia, Tarun; Roll, Richard; Subrahmanyam, Avanidhar - In: Cuadernos de economía 40 (2003), pp. 728-751

Persistent link: https://www.econbiz.de/10001900612

Trading Activity in the Equity Market and Its Contingent Claims : An Empirical Investigation

Roll, Richard - 2012

Little is known about the joint dynamics of volume across the various contingent claims on the equity market. We study the time-series of trading activity in the cash S&P 500 index and its derivatives (options, the legacy and E-mini futures contracts, and the ETF), and consider their dynamic...

Persistent link: https://www.econbiz.de/10013115421

The implications of liquidity and order flows for neoclassical finance

Subrahmanyam, Avanidhar - In: Pacific-Basin finance journal 17 (2009) 5, pp. 527-532

Persistent link: https://www.econbiz.de/10003895329