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Macroeconomic news announcements and price discovery : evidence from Canadian-U.S. cross-listed firms
Frijns, Bart; Indriawan, Ivan; Tourani Rad, Alireza - In: Journal of empirical finance 32 (2015), pp. 35-48
Persistent link: https://www.econbiz.de/10011556775
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Microstructure invariance in U.S. stock market trades
Kyle, Albert S.; Obižaeva, Anna; Tuzun, Tugkan - 2016 - This draft: April 19, 2016
include the invariance-implied measure of effective price volatility …
Persistent link: https://www.econbiz.de/10011500337
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Specialist risk attitudes and the bid-ask spread
Prucyk, Brian - In: The financial review : the official publication of the … 40 (2005) 2, pp. 223-255
Persistent link: https://www.econbiz.de/10002806933
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Microstructure Invariance in U.S. Stock Market Trades
Kyle, Albert S. - 2016
include the invariance-implied measure of effective price volatility …
Persistent link: https://www.econbiz.de/10013210394
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Microstructure invariance in U.S. stock market trades
Kyle, Albert S.; Obizhaeva, Anna A.; Tuzun, Tugkan - 2016
Persistent link: https://www.econbiz.de/10011633492
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Microstructure invariance in U.S. stock market trades
Kyle, Albert S.; Obižaeva, Anna; Tuzun, Tugkan - In: Journal of financial markets 49 (2020), pp. 1-36
Persistent link: https://www.econbiz.de/10013531193
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Price discovery and the accuracy of consolidated data feeds in the U.S. equity markets
Tivnan, Brian F.; Slater, David; Thompson, James R.; … - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-17
Both the scientific community and the popular press have paid much attention to the speed of the Securities Information Processor-the data feed consolidating all trades and quotes across the US stock market. Rather than the speed of the Securities Information Processor (SIP), we focus here on...
Persistent link: https://www.econbiz.de/10011961261
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On the importance of timing specifications in market microstructure research
Henker, Thomas; Wang, Jian-xin - In: Journal of financial markets 9 (2006) 2, pp. 162-179
Persistent link: https://www.econbiz.de/10003326696
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The impact of preferencing on execution quality
He, Chen; Odders-White, Elizabeth R.; Ready, Mark J. - In: Journal of financial markets 9 (2006) 3, pp. 246-273
Persistent link: https://www.econbiz.de/10003357662
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Electronic trading in stock markets
Stoll, Hans R. - In: The journal of economic perspectives : EP ; a journal … 20 (2006) 1, pp. 153-174
Persistent link: https://www.econbiz.de/10003317146