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A state-space modeling of the information content of trading volume
Rzayev, Khaladdin; Ibikunle, Gbenga - In: Journal of financial markets 46 (2019), pp. 1-19
Persistent link: https://www.econbiz.de/10012317879
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High-frequency trading and market quality : evidence from account-level futures data
Coughlan, John; Orlov, Alexei G. - In: The journal of futures markets 43 (2023) 8, pp. 1126-1160
Persistent link: https://www.econbiz.de/10014339377
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Does off-exchange trading decrease in the presence of uncertainty?
Jurich, Stephen N. - In: The quarterly review of economics and finance : journal … 81 (2021), pp. 201-213
Persistent link: https://www.econbiz.de/10012656285
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Hidden liquidity: Determinants and impact
Cebiroğlu, Gökhan; Horst, Ulrich - 2012
We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock's hidden dimension, both in terms of traded and posted liquidity. Our findings moreover suggest that...
Persistent link: https://www.econbiz.de/10010281537
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Do we need to recover T + 0 trading? : evidence from the Chinese stock market
Wu, Yu; Qin, Fang - In: Emerging markets finance & trade : a journal of the … 51 (2015) 6, pp. 1084-1098
Persistent link: https://www.econbiz.de/10011561224
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Information shares and market quality before and during the European sovereign debt crisis
Papavassiliou, Vassilios G.; Kinateder, Harald - In: Journal of international financial markets, … 72 (2021), pp. 1-25
Persistent link: https://www.econbiz.de/10012801546
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Volatility and dark trading : evidence from the Covid-19 pandemic
Ibikunle, Gbenga; Rzayev, Khaladdin - In: The British accounting review : the journal of the … 55 (2023) 4, pp. 1-23
Persistent link: https://www.econbiz.de/10014324904
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Measuring commodity market quality
Lauter, Tobias; Prokopczuk, Marcel - In: Journal of banking & finance 145 (2022), pp. 1-24
Persistent link: https://www.econbiz.de/10013538965
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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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Modelling price movement in trading volume-volatility relations
Pei Pei Tan; Galagedera, Don U. A.; Sze Shi Ting - In: Malaysian journal of economic studies 52 (2015) 2, pp. 135-156
Persistent link: https://www.econbiz.de/10011452838