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Do high-frequency fleeting orders exacerbate market illiquidity?
Li, Kun - In: Electronic commerce research 18 (2018) 2, pp. 241-255
Persistent link: https://www.econbiz.de/10011864117
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Multiple markets, algorithmic trading, and market liquidity
Upson, James; Van Ness, Robert A. - In: Journal of financial markets 32 (2017), pp. 49-68
Persistent link: https://www.econbiz.de/10011814965
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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
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Four essays on the econometric analysis of high-frequency order data
Huang, Ruihong - 2012
Persistent link: https://www.econbiz.de/10009670513
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Limit order book dynamics and asset liquidity
Pristas, Georg - 2008 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003754583
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The optimal bid-ask price strategies of high-frequency trading and the effect on market liquidity
Yang, Haijun; Ge, Hengshun; Luo, Ying - In: Research in international business and finance 53 (2020), pp. 1-21
Persistent link: https://www.econbiz.de/10012548917
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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
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The multiple dimensions of liquidity
Garabedian, Garo; Inghelbrecht, Koen - 2020
Persistent link: https://www.econbiz.de/10012793065
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Voluntary pre-trade anonymity and market liquidity
Martínez Sedano, Miguel Angel; Tapia, Mikel - In: Spanish journal of finance & accounting : the official … 50 (2021) 2, pp. 143-161
Persistent link: https://www.econbiz.de/10012549225
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Constrained liquidity provision in currency markets
Huang, Wenqian; Ranaldo, Angelo; Schrimpf, Andreas; … - 2023
Persistent link: https://www.econbiz.de/10014249561