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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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A span of continuous trades and liquidity dynamics in foreign exchange markets
Chien, Chih-Chung; Chen, Shikuan; Chang, Ming-Jen - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 144-168
Persistent link: https://www.econbiz.de/10014253161
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Effects of lit and dark market fragmentation on liquidity
Gresse, Carole - In: Journal of financial markets 35 (2017), pp. 1-20
Persistent link: https://www.econbiz.de/10011820138
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Liquidity risk in limit order book markets
Mayston, Daniel (contributor) - 2006
Persistent link: https://www.econbiz.de/10003494297
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The impact of liquidity shocks through the limit order book
Wuyts, Gunther - 2008
This paper analyzes liquidity in an order driven market. We only investigate the best limits in the limit order book … liquidity. We develop and estimate several econometric models, based on depth and prices in the book, as well as on the slopes … of the limit order book. The dynamics of different dimensions of liquidity are analyzed: prices, depth at and beyond the …
Persistent link: https://www.econbiz.de/10003864016
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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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Discerning information from trade data
Easley, David; López de Prado, Marcos M.; O'Hara, Maureen - In: Journal of financial economics 120 (2016) 2, pp. 269-285
Persistent link: https://www.econbiz.de/10011590080
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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
Following other leading international securities markets, the Tokyo stock exchange [TSE] has adopted a publicly displayed but anonymous limit order book, and we ask: how is market quality affected? Accounting for fixed effects and endogeneity, we find increased volatility and higher order book...
Persistent link: https://www.econbiz.de/10014153455
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Cross-listings and liquidity commonality around the world
Đặng Tùng Lâm; Moshirian, Fariborz; Wee, Claudia … - In: Journal of financial markets 22 (2015), pp. 1-26
Persistent link: https://www.econbiz.de/10011332876
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Commonality in liquidity, liquidity distribution, and financial crisis : evidence from country ETFs
Lee, Hsiu-Chuan; Tseng, Yung-Ching; Yang, Chung-Jen - In: Pacific-Basin finance journal 29 (2014), pp. 35-58
Persistent link: https://www.econbiz.de/10010494004