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Ranking of US macroeconomic news impacting WTI crude oil volatility risk
Faseli, Omid - 2019
Persistent link: https://www.econbiz.de/10012146919
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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
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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
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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
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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
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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
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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
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Can exchange-traded funds be profitably traded with the trading range breakout technical trading rule?
Yap, Kok-Leong; Lau, Wee-Yeap; Izlin Ismail - In: International journal of financial engineering 9 (2022) 4, pp. 1-21
Persistent link: https://www.econbiz.de/10014234451
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Feedback trading : strategies during day and night with global interconnectedness
Kusen, Alex; Rudolf, Markus - In: Research in international business and finance 48 (2019), pp. 438-463
Persistent link: https://www.econbiz.de/10012135964
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Multifractal models, intertrade durations and return volatility
Segnon, Mawuli - 2015
Persistent link: https://www.econbiz.de/10011299266