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Invariance in buy-sell switching points
Bae, Kyoung-hun; Bondarenko, Oleg; Lee, Eun Jung; … - 2020
Persistent link: https://www.econbiz.de/10012494223
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Industrial organization, order Internalization, and invariance
Bondarenko, Oleg; Obižaeva, Anna; Wang, Yajun - 2020
Persistent link: https://www.econbiz.de/10012494238
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The long memory of order flow in the foreign exchange spot market
Gould, Martin; Porter, Mason A.; Howison, Sam - In: Market microstructure and liquidity 2 (2016) 1, pp. 1-40
Persistent link: https://www.econbiz.de/10011588230
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Extension and calibration of a Hawkes-based optimal execution model
Alfonsi, Aurélien; Blanc, Pierre - In: Market microstructure and liquidity 2 (2016) 2, pp. 1-55
Persistent link: https://www.econbiz.de/10011588251
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Currency order flow and exchange rate determination : empirical evidence from the Malaysian foreign exchange market
Anifowose Daniel Abolaji; Izlin Ismail; Mohd Edil Abd Sukor - In: Global business review 19 (2018) 4, pp. 902-920
Persistent link: https://www.econbiz.de/10011915059
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Estimating probability of informed trading on the Bucharest stock exchange
Cepoi, Cosmin Octavian; Toma, Filip Mihai - In: Finance a úvěr 66 (2016) 2, pp. 140-160
Persistent link: https://www.econbiz.de/10011618713
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A structural model of market friction with time-varying volatility
Buccheri, Giuseppe; Grassi, Stefano; Vocalelli, Giorgio - 2021
Persistent link: https://www.econbiz.de/10012489003
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Time weighted price contribution
Jahanshahloo, Hossein; Spokeviciute, Laima - In: Finance research letters 43 (2021), pp. 1-4
Persistent link: https://www.econbiz.de/10014632282
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Does anonymity matter in electronic limit order markets?
Foucault, Thierry; Moinas, Sophie; Theissen, Erik - 2004 - This Draft: May, 2004
We develop a model of limit order trading in which some traders have better information on future price volatility. As limit orders have option-like features, this information is valuable for limit order traders. We solve for informed and uninformed limit order traders' bidding strategies in...
Persistent link: https://www.econbiz.de/10010361995
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Testing for market microstructure effects in intraday volatility : a reassessment of the Tokyo FX experiment
Anderson, Torben G.; Bollerslev, Tim; Das, Ashish - 1998
Persistent link: https://www.econbiz.de/10000673940