Similar Search Results

Aggregate market quality implications of dark trading

Aquilina, Matteo; Diaz-Rainey, Ivan; Ibikunle, Gbenga; … - 2017

Persistent link: https://www.econbiz.de/10013163735

Dark matters : the effects of dark trading restrictions on liquidity and informational efficiency

Ibikunle, Gbenga; Li, Youwei; Mare, Davide Salvatore; … - In: Journal of international financial markets, … 75 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012820413

The paradoxical effects of market fragmentation on adverse selection risk and market efficiency

Ibikunle, Gbenga; Mare, Davide Salvatore; Sun, Yuxin - In: The European journal of finance 26 (2020) 14, pp. 1439-1461

Persistent link: https://www.econbiz.de/10012264977

Informed trading and the price impact of block trades : a high frequency trading analysis

Sun, Yuxin; Ibikunle, Gbenga - In: International review of financial analysis 54 (2017), pp. 114-129

Persistent link: https://www.econbiz.de/10011878187

A tale of two time zones : the impact of substitutes on cross-listed stock liquidity

Moulton, Pamela C.; Li, Wei - In: Journal of financial markets 12 (2009) 4, pp. 570-591

Persistent link: https://www.econbiz.de/10003902660

Public disclosure and private decisions : equity market execution quality and order routing

Boehmer, Ekkehart; Jennings, Robert H.; Li, Wei - In: The review of financial studies 20 (2007) 2, pp. 316-358

Persistent link: https://www.econbiz.de/10003554425

Ownership restriction, information diffusion speed, and the performance of technical trading rules in Chinese domestic and foreign shares markets

Li, Wei; Wang, Steven Shuye - In: Review of Pacific Basin financial markets and policies 10 (2007) 4, pp. 585-617

Persistent link: https://www.econbiz.de/10003675565

Public disclosure and private decisions : the case of equity market execution quality

Boehmer, Ekkehart (contributor); … - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001951294

Informed Trading and the Price Impact of Block Trades : A High Frequency Trading Analysis

Sun, Yuxin - 2016

Using high frequency data from the London Stock Exchange (LSE), we investigate the relationship between informed trading and the price impact of block trades on intraday and inter-day basis. Price impact of block trades is stronger during the first hour of trading; this is consistent with the...

Persistent link: https://www.econbiz.de/10013005626

High Frequency Trading with Speed Hierarchies

Li, Wei - 2019

Traders differ in speed and their speed differences matter. I model strategic interactions induced when high frequency traders (HFTs) have different speeds in an extended Kyle (1985) framework. HFTs are assumed to anticipate incoming orders and trade rapidly to exploit normal-speed traders'...

Persistent link: https://www.econbiz.de/10012905107