Narrow search
Showing 1 - 10 of 31,486
Cover Image
An international trend in market design : endogenous effects of limit order book transparency on volatility, spreads, depth and volume
Pham, Thu Phuong; Westerholm, P. Joakim - 2013
Persistent link: https://www.econbiz.de/10010211416
Cover Image
An International Trend in Market Design : Endogenous Effects of Limit Order Book Transparency on Volatility, Spreads, Depth and Volume
Pham, Thu Phuong; Westerholm, P. Joakim - 2020
endogeneity, we find increased volatility and higher order book depth at the best bid and ask prices, while total depth is not …
Persistent link: https://www.econbiz.de/10014153455
Cover Image
Liquidity risk in limit order book markets
Mayston, Daniel (contributor) - 2006
Persistent link: https://www.econbiz.de/10003494297
Cover Image
Intraday patterns in FX returns and order flow
Breedon, Francis J.; Ranaldo, Angelo - 2012
Using a comprehensive high-frequency foreign exchange dataset, we present evidence of time-of-day effects in foreign exchange returns through a significant tendency for currencies to depreciate during local trading hours. We confirm this pattern across a range of currencies and time zones. We...
Persistent link: https://www.econbiz.de/10009521479
Cover Image
Intraday patterns in FX returns and order flow
Breedon, Francis J.; Ranaldo, Angelo - In: Journal of money, credit and banking : JMCB 45 (2013) 5, pp. 953-965
Persistent link: https://www.econbiz.de/10010197597
Cover Image
Clustering and mean reversion in a Hawkes microstructure model
Fonseca, José da; Zaatour, Riadh - In: The journal of futures markets 35 (2015) 9, pp. 813-838
Persistent link: https://www.econbiz.de/10011392661
Cover Image
Trading Activity and Realized Volatility : Evidence with Decomposed Trading Volume and Order Imbalance
Ting, Sze Shih - 2010
realized volatility and its continuous and jump components. Considering buyer-initiated and seller-initiated trades and … investigate whether buyer and seller initiated trades as two factors of realized volatility, we investigate whether they have an … asymmetric effect on realized volatility. The stocks in the ASX50 sampled over the period January 1996 to April 2010 reveal that …
Persistent link: https://www.econbiz.de/10013138999
Cover Image
Feedback trading in currency markets : international evidence
Tayeh, Mohammad; Kallinterakis, Vasileios - In: The journal of behavioral finance : a publication of … 23 (2022) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10012802007
Cover Image
Liquidity withdrawal in the FX spot market : a cross-country study using high-frequency data
Stenfors, Alexis; Susai, Masayuki - In: Journal of international financial markets, … 59 (2019), pp. 36-57
Persistent link: https://www.econbiz.de/10012127871
Cover Image
Trade size, high-frequency trading, and colocation around the world
Aitken, Michael J.; Cumming, Douglas J.; Zhan, Feng - In: The European journal of finance 23 (2017) 7/9, pp. 781-801
Persistent link: https://www.econbiz.de/10011740206