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Market microstructure invariance: a dynamic equilibrium model
Kyle, Albert S.; Obižaeva, Anna - 2020
Persistent link: https://www.econbiz.de/10012494205
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Large bets and stock market crashes
Kyle, Albert S.; Obižaeva, Anna - 2020
Persistent link: https://www.econbiz.de/10012494212
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The market impact puzzle
Kyle, Albert S.; Obižaeva, Anna - 2020
Persistent link: https://www.econbiz.de/10012494214
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Trading liquidity and funding liquidityin fixed income markets: implications of market microstructure invariance
Kyle, Albert S.; Obižaeva, Anna - 2020
Persistent link: https://www.econbiz.de/10012494216
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Intraday trading invariancein the E-mini S&P 500 futures market
Andersen, Torben; Bondarenko, Oleg; Kyle, Albert S.; … - 2020
Persistent link: https://www.econbiz.de/10012494219
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Invariance in buy-sell switching points
Bae, Kyoung-hun; Bondarenko, Oleg; Lee, Eun Jung; … - 2020
Persistent link: https://www.econbiz.de/10012494223
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Market microstructure invariance : empirical hypotheses
Kyle, Albert S.; Obižaeva, Anna - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 4, pp. 1345-1404
Persistent link: https://www.econbiz.de/10011611092