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Spoofing and pinging in foreign exchange markets

Stenfors, Alexis; Susai, Masayuki - In: Journal of international financial markets, … 70 (2021), pp. 1-35

Persistent link: https://www.econbiz.de/10012668408

A span of continuous trades and liquidity dynamics in foreign exchange markets

Chien, Chih-Chung; Chen, Shikuan; Chang, Ming-Jen - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 144-168

Persistent link: https://www.econbiz.de/10014253161

Global stock markets : microstructure, trading mechanisms and bid-ask spreads

Kühle, Martin P. - 2000

Persistent link: https://www.econbiz.de/10001519170

Limit order book (LOB) shape modeling in presence of heterogeneously informed market participants

Drame, Mouhamad - In: Market microstructure and liquidity 5 (2019) 1/4, pp. 1-35

Persistent link: https://www.econbiz.de/10012820075

Modeling bid and ask price dynamics with an extended hawkes process and its empirical applications for high-frequency stock market data

Lee, Kyungsub; Seo, Byoung Ki - In: Journal of financial econometrics 21 (2023) 4, pp. 1099-1142

Persistent link: https://www.econbiz.de/10014391445

Need for speed? : exchange latency and liquidity

Menkveld, Albert J.; Zoican, Marius A. - 2014

Speeding up the exchange does not necessarily improve liquidity. The price quotes of high-frequency market makers are more likely to meet speculative high-frequency "bandits", thus less likely to meet liquidity traders. The bid-ask spread is raised in response. The recursive dynamic model...

Persistent link: https://www.econbiz.de/10010384388