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Securities trading
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1
Improved
volatility
estimation based on limit order books
Bibinger, Markus
;
Jirak, Moritz
;
Reiß, Markus
-
2014
the integrated squared
volatility
of an effcient price process Xt from intra-day order book quotes. We derive n -1/3 as … optimal convergence rate of integrated squared
volatility
estimation in a high-frequency framework with n observations (in …
Persistent link: https://www.econbiz.de/10010412417
Saved in:
2
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
Saved in:
3
Informed Trading Intensity
Bogousslavsky, Vincent
;
Fos, Vyacheslav
;
Muravyev, Dmitriy
-
2022
trading, volume, and
volatility
. This data-driven approach can shed light on the economics of informed trading, including …
Persistent link: https://www.econbiz.de/10014258813
Saved in:
4
On the dark side of the market : identifying and analyzing hidden order placements
Hautsch, Nikolaus
;
Huang, Ruihong
-
2012
Trading under limited pre-trade transparency becomes increasingly popular on financial markets. We provide first evidence on traders' use of (completely) hidden orders which might be placed even inside of the (displayed) bid-ask spread. Employing TotalView-ITCH data on order messages at NASDAQ,...
Persistent link: https://www.econbiz.de/10009504616
Saved in:
5
Cross-Asset Market Order Flow, Liquidity, and Price Discovery
Garrison, Robert
-
2019
component of liquidity and price discovery, particularly during periods of market
volatility
…
Persistent link: https://www.econbiz.de/10012860759
Saved in:
6
Limit Order Flow, Market Impact and Optimal Order Sizes : Evidence from NASDAQ TotalView-ITCH Data
Hautsch, Nikolaus
-
2011
In this paper, we provide new empirical evidence on order submission activity and price impacts of limit orders at NASDAQ. Employing NASDAQ TotalView-ITCH data, we find that market participants dominantly submit limit orders with sizes equal to a round lot. Most limit orders are canceled almost...
Persistent link: https://www.econbiz.de/10013121274
Saved in:
7
Liquidity, Volume and Price Efficiency : The impact of order vs. Quote Driven Trading
Malinova, Katya
-
2012
As equity trading becomes predominantly electronic, is there still value to a traditional, intermediated dealer system? We address this question by comparing the impact of the organization of trading on volume, liquidity, and price efficiency in a quote-driven dealer market and in an...
Persistent link: https://www.econbiz.de/10013116280
Saved in:
8
Price dynamics and market liquidity : an intraday event study on Euronext
Mazza, Paolo
- In:
The quarterly review of economics and finance : journal …
56
(
2015
),
pp. 139-153
Persistent link: https://www.econbiz.de/10011574367
Saved in:
9
Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps
Jondeau, Eric
;
Lahaye, Jérôme
;
Rockinger, Michael
-
2013
We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...
Persistent link: https://www.econbiz.de/10010256970
Saved in:
10
Informed Trading and Maker-Taker Fees in a Low-Latency Limit Order Market
Brolley, Michael
-
2020
We model a financial market where privately informed investors trade in a limit order book monitored by professional liquidity providers. Price competition between informed limit order submitters and professional market makers allows us to capture tradeoffs between informed limit and market...
Persistent link: https://www.econbiz.de/10012857157
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