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Market microstructure during financial crisis : dynamics of informed and heuristic-driven trading

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Jump variation estimation with noisy high frequency financial data via wavelets

Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26

of volatility in finance for portfolio allocation, derivative pricing and risk management. The method has a two … average realized volatility processes can achieve a convergence rate close to OP(n−4/9) , which is better than the convergence … based on average realized volatility processes indeed performs better than that based on the price processes. Empirically …

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When and where are informed traders? : what is their relationship with analysts in the price discovery process?

Blasco de las Heras, Natividad; Corredor, Pilar - In: The journal of behavioral finance : a publication of … 17 (2016) 4, pp. 352-364

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Reflecting on the VPIN dispute

Andersen, Torben; Bondarenko, Oleg - In: Journal of financial markets 17 (2014), pp. 53-64

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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, Joakim - In: Journal of international financial markets, … 27 (2013), pp. 202-223

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Liquidity fluctuations and the latent dynamics of price impact

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High-frequency trading and stock liquidity : an intraday analysis

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Order imbalance and selling aggression under a shorting ban : evidence from the UK

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The effect of investor sentiment on feedback trading and trading frequency : evidence from Taiwan intraday data

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