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Autocorrelation and partial price adjustment
Anderson, Robert M.; Eom, Kyong Shik; Hahn, Sang Buhm; … - In: Journal of empirical finance 24 (2013), pp. 78-93
Persistent link: https://www.econbiz.de/10010371989
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Strategic trade when securitized portfolio values are unknown
Piccotti, Louis R. - In: Journal of banking & finance 115 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012489199
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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 … microstructure model explains on average 47.7% of the total variation. Once jumps are filtered and parameters are estimated in real …
Persistent link: https://www.econbiz.de/10010256970
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Order flow information and spot rate dynamics
Evans, Martin D. D.; Rime, Dagfinn - 2015 - First draft
Persistent link: https://www.econbiz.de/10011484832
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A hybrid approach to exchange rates : how do macro news and order flow affect exchange rate volatility?
Zhang, Guangfeng; Marsh, Ian; MacDonald, Ronald - In: Studies in economics and finance 33 (2016) 1, pp. 50-68
Persistent link: https://www.econbiz.de/10011718725
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The information environment, informed trading, and volatility
Blasco de las Heras, Natividad; Corredor, Pilar - In: The journal of behavioral finance : a publication of … 18 (2017) 2, pp. 202-218
Persistent link: https://www.econbiz.de/10012008698
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FX trading and the exchange rate disconnect puzzle
Evans, Martin D. D. - 2018 - First draft
Persistent link: https://www.econbiz.de/10011973578
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Order flow information and spot rate dynamics
Evans, Martin D. D.; Rime, Dagfinn - In: Journal of international money and finance 69 (2016), pp. 45-68
Persistent link: https://www.econbiz.de/10011711887
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Chapter 7. Agent-Based Models for Market Impact and Volatility
Bouchaud, Jean-Philippe - In: Handbook of computational economics : Volume 4: …, (pp. 393-436). 2018
Financial markets display a host of universal “stylized facts” begging for a scientific explanation: Excess volatility … microstructural ABMs would allow one to answer crucial questions, such as those related to market stability. Can large orders …
Persistent link: https://www.econbiz.de/10014024359
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Demand for gold : goods and investment markets interdependence as a factor of gold market stabilization
Sazonov, Victor; Nikolaev, Dmitry - In: Investment management and financial innovations 11 (2014) 4, pp. 60-65
Persistent link: https://www.econbiz.de/10010514107