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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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Commonality in equity options liquidity : evidence from European markets
Verousis, Thanos; Ap Gwilym, Owain; Voukelatos, Nikolaos - In: The European journal of finance 22 (2016) 10/12, pp. 1204-1223
Persistent link: https://www.econbiz.de/10011715347
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Market microstructure invariance : empirical hypotheses
Kyle, Albert S.; Obižaeva, Anna - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 4, pp. 1345-1404
Persistent link: https://www.econbiz.de/10011611092
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A reverse index futures split effect on liquidity and market dynamics
Athanasios, Fassas; Nikolas, Hourvouliades - In: International journal of bonds and derivatives 3 (2017) 3, pp. 235-252
Persistent link: https://www.econbiz.de/10011875992
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A span of continuous trades and liquidity dynamics in foreign exchange markets
Chien, Chih-Chung; Chen, Shikuan; Chang, Ming-Jen - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 144-168
Persistent link: https://www.econbiz.de/10014253161
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Intraday trading invariancein the E-mini S&P 500 futures market
Andersen, Torben; Bondarenko, Oleg; Kyle, Albert S.; … - 2020
Persistent link: https://www.econbiz.de/10012494219
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Comprehensive market microstructure model : considering the inventory holding costs
Ryu, Doojin - In: Journal of business economics and management 18 (2017) 2, pp. 183-201
Persistent link: https://www.econbiz.de/10011721742
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Broker ID transparency and price impact of trades : evidence from the Korean exchange
Pham, Thu Phuong - In: International journal of managerial finance : IJMF 11 (2015) 1, pp. 117-131
Persistent link: https://www.econbiz.de/10010527436
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Limit order trading and information asymmetry : empirical evidence about the evolution of liquidity on an order driven market
Allen, David E. (contributor); Yang, Joey W. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003760003
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Price, trade size, and information revelation in multi-period securities markets
Ozsoylev, Han N.; Takayama, Shino - In: Journal of financial markets 13 (2010) 1, pp. 49-76
Persistent link: https://www.econbiz.de/10003935476