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Daily Herding and Commonality in Liquidity on a Pure Limit Order Book Market

Edgar, Matthew - 2011

Pervasive herding may cause homogenous trading patterns, both within and across stocks and thus may impact upon an … important aspect of the market microstructure – liquidity. Potentially, herding could simultaneously affect the liquidity of … both individual stocks and that of the market. For this reason, herding is investigated as a potential cause of …

Persistent link: https://www.econbiz.de/10013121143

Why is equity order flow so persistent?

Tóth, Bence; Palit, Imon; Lillo, Fabrizio; Farmer, J. Doyne - In: Journal of economic dynamics & control 51 (2015), pp. 218-239

Persistent link: https://www.econbiz.de/10011474393

Three essays in financial economics

Jurkatis, Simon Willi - 2018

Persistent link: https://www.econbiz.de/10012169133

The price impact of order book events

Cont, Rama; Kukanov, Arseniy; Stoikov, Sasha - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 47-88

Persistent link: https://www.econbiz.de/10010233613

Price discovery in the U.S. Treasury cash market : on principal trading firms and dealers

Harkrader, James Collin; Puglia, Michael - 2020

Persistent link: https://www.econbiz.de/10012389832

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970