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Information environments and high price impact trades : implication for volatility and price efficiency
Dionne, Georges; Zhou, Xiaozhou - 2019
Persistent link: https://www.econbiz.de/10012139168
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Information arrival, changes in R-square and pricing asymmetry of corporate news
Cheng, Louis T. W.; Leung, Tak Yan; Yu, Wayne - In: International review of economics & finance : IREF 33 (2014), pp. 67-81
Persistent link: https://www.econbiz.de/10010531285
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Prospect theory and market quality/ Paolo Pasquariello
Pasquariello, Paolo - In: Journal of economic theory 149 (2014), pp. 276-310
Persistent link: https://www.econbiz.de/10010258376
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When R 2 meets the short-sales constraints
Cai, Jinghan; Xia, Le - In: Economics letters 125 (2014) 3, pp. 336-339
Persistent link: https://www.econbiz.de/10010506091
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Market quality and dark trading in the post MiFID II era : what have we learned so far?
Anagnostidis, Panagiotis; Papachristou, George; … - In: Economics letters 184 (2019), pp. 1-5
Persistent link: https://www.econbiz.de/10012304730
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High-frequency trading in the U.S. treasury market around macroeconomic news announcements
Jiang, George J.; Lo, Ingrid; Valente, Giorgio - 2018
Persistent link: https://www.econbiz.de/10012202019
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Is the extension of trading hours always beneficial? : an artificial agent-based analysis
Miwa, Kotaro; Ueda, Kazuhiro - In: Computational economics 50 (2017) 4, pp. 595-627
Persistent link: https://www.econbiz.de/10011783458
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Prospect Theory and market quality
Pasquariello, Paolo - In: Journal of Economic Theory 149 (2014) C, pp. 276-310
We study equilibrium trading strategies and market quality in an economy in which speculators display preferences consistent with Prospect Theory (Kahneman and Tversky, [39]; Tversky and Kahneman, [63]), i.e., loss aversion and mild risk seeking in losses. Loss aversion (risk seeking in losses)...
Persistent link: https://www.econbiz.de/10010729551
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The effect of relaxing daily price limit : evidence from the ChiNext market of China
Wan, Xiaoyuan; Zhang, Jiachen - In: Economics letters 215 (2022), pp. 1-3
Persistent link: https://www.econbiz.de/10013448259
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Intraday interactions between high-frequency trading and price efficiency
Ben Ammar, Imen; Hellara, Slaheddine - In: Finance research letters 41 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10013336225