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Limit order trading and information asymmetry : empirical evidence about the evolution of liquidity on an order driven market

Allen, David E. (contributor); Yang, Joey W. (contributor) - 2008

Persistent link: https://www.econbiz.de/10003760003

Who sees the trades? : the effect of information on liquidity in inter-dealer markets

Garratt, Rod; Lee, Michael Junho; Martin, Antoine; … - 2019

Dealers, who strategically supply liquidity to traders, are subject to both liquidity and adverse selection costs …. While liquidity costs can be mitigated through inter-dealer trading, individual dealers' private motives to acquire … information compromise inter-dealer market liquidity. Post-trade information disclosure can improve market liquidity by …

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Scheduled macro-news effects on a Euro/US dollar limit order book around the 2008 financial crisis

Ben Omrane, Walid; Tao, Yusi; Welch, Robert L. - In: Research in international business and finance 42 (2017), pp. 9-30

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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

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Determinants of bid and ask quotes and implications for the cost of trading

Zhang, Michael Yuanjie; Russell, Jeffrey R.; Tsay, Ruey S. - In: Journal of empirical finance 15 (2008) 4, pp. 656-678

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The dynamics of quote adjustments

Chung, Kee H.; Chuwonganant, Chairat; Jiang, Jing - In: Journal of banking & finance 32 (2008) 11, pp. 2390-2400

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NYSE order flow, spreads, and information

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Adverse-selection costs and the probability of information-based trading

Chung, Kee H.; Li, Mingsheng - In: The financial review : the official publication of the … 38 (2003) 2, pp. 257-272

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Incoporating price-relevant information between quotes and trades : a new measure of the effective bid-ask spread

Kim, Sung-hun; Ogden, Joseph P. - In: International journal of theoretical and applied finance 2 (1999) 2, pp. 179-200

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Liquidity biases and the pricing of cross-sectional idiosyncratic volatility

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