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Limit order books and trade informativeness

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Herding behavior in the moroccan stock exchange

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The behavior of high-frequency traders under different market stress scenarios

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Are price limits cooling off agricultural futures markets?

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We reddit in a forum : the influence of message boards on firm stability

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Stock market efficiency : the Pakistan Stock Exchange merger

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Ferreruela, Sandra; Martín, Daniel - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-29

volatility, but liquidity was reduced; (2) liquidity deterioration affected more the sell than the buy side of the LOB; (3) high …-frequency activity (HFT) diminished during SSR, reinforcing volatility; (4) negative effects on liquidity and HFT diminished and … disappeared as the ban was lifted; (5) HFT unidirectionally Granger causes 1 min realized volatility while the natural logarithm …

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Default risk and option returns

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Estimating probability of informed trading on the Bucharest stock exchange

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