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The heterogeneous volume-volatility relations in the exchange-traded fund market : evidence from China

Xu, Liao; Gao, Han; Shi, Yukun; Zhao, Yang - In: Economic modelling 85 (2020), pp. 400-408

Persistent link: https://www.econbiz.de/10012210698

Private information flow and price discovery in the US treasury market

Jiang, George J.; Lo, Ingrid - In: Journal of banking & finance 47 (2014), pp. 118-133

Persistent link: https://www.econbiz.de/10010506499

Optimal trade execution for Gaussian signals with power-law resilience

Forde, Martin; Sánchez-Betancourt, Leandro; Smith, Benjamin - In: Quantitative finance 22 (2022) 3, pp. 585-596

Persistent link: https://www.econbiz.de/10013167782

Information content of inter-transaction time : a structural approach

Ryu, Doojin - In: Journal of business economics and management 16 (2015) 4, pp. 697-711

Persistent link: https://www.econbiz.de/10011383043

Volatility, trading activity and maximum lot amounts : evidence from Borsa Istanbul

Gülay, Güzhan - In: Borsa Istanbul Review 22 (2022) 3, pp. 409-425

Intraday analyses of volatility-volume relation by decomposing the volume into number of trades and average trade size … the short-term volatility comparably parallel with the existing literature. The unique maximum lot amount rule … to control for the size of the trades naturally and analyse the relation of the volatility with other trading activity …

Persistent link: https://www.econbiz.de/10013334755

Modelling trades-through in a limit order book using hawkes processes

Toke, Ioane Muni; Pomponio, Fabrizio - 2012

The authors model trades-through, i.e. transactions that reach at least the second level of limit orders in an order book. Using tick-by-tick data on Euronext-traded stocks, they show that a simple bivariate Hawkes process fits nicely their empirical observations of tradesthrough. The authors...

Persistent link: https://www.econbiz.de/10009550135

The information content of retail investors' order flow

Nolte, Ingmar; Nolte, Sandra - In: The European journal of finance 22 (2016) 1/3, pp. 80-104

Persistent link: https://www.econbiz.de/10011419948

Information content of order imbalance in the index options market

Sensoy, Ahmet; Omole, John - In: International review of economics & finance : IREF 78 (2022), pp. 418-432

Persistent link: https://www.econbiz.de/10013334583

Enhancing trading strategies with order book signals

Cartea, Álvaro; Donnelly, Ryan; Jaimungal, Sebastian - In: Applied mathematical finance 25 (2018) 1/2, pp. 1-35

Persistent link: https://www.econbiz.de/10011959112

Futures mispricing, order imbalance, and short-selling constraints

Lin, Emily; Lee, Cheng F.; Wang, Kehluh - In: International review of economics & finance : IREF 25 (2013), pp. 408-423

Persistent link: https://www.econbiz.de/10009693284