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Portfolio choice and trading volume with loss-averse investors

Gomes, Francisco J. - In: The journal of business : B 78 (2005) 2, pp. 675-706

Persistent link: https://www.econbiz.de/10002926955

Price impact function of a single transaction

Lillo, Fabrizio; Farmer, J. Doyne; Mantegna, Rosario N. - In: The complex dynamics of economic interaction : essays …, (pp. 153-160). 2004

Persistent link: https://www.econbiz.de/10002415112

Liquiditäts- und Effizienzmessung im Aktienhandel : Dimensionen des Preisbildungsprozesses auf einem kontinuierlichen elektronischen Anlegerauktionsmarkt

Kindermann, Sebastian - 2005 - 1. Aufl.

Persistent link: https://www.econbiz.de/10002524736

Three essays on the econometrics of options markets

Lazarov, Zdravetz N. - 2004

Persistent link: https://www.econbiz.de/10002613885

Intraday public information : the French evidence

Vukic, Alen - 2004

Persistent link: https://www.econbiz.de/10002627372

Strategic trading in illiquid markets

Mönch, Burkart - 2005

Persistent link: https://www.econbiz.de/10002581606

Modeling feedback effects with stochastic liquidity

Esser, Angelika (contributor); Mönch, Burkart (contributor) - 2003

We model the interactions between the trading activities of a large investor, the stock price and the market liquidity. Our framework generalizes the model of Frey (2000), where liquidity is constant by introducing a stochastic liquidity factor. This innovation has two implications. First, we...

Persistent link: https://www.econbiz.de/10002463391

Measuring the probability of informed trading : estimation error and trading frequency

Henke, Harald - 2004

Persistent link: https://www.econbiz.de/10002464149

The dynamics of security trades, quote revisions, and market depths for actively traded stocks

Rahman, Shafiqur; Krishnamurti, Chandrasekhar; Lee, Alice C. - In: Review of quantitative finance and accounting 25 (2005) 2, pp. 91-124

Persistent link: https://www.econbiz.de/10003124755

Firm-initiated and exchange-initiated transfers to continuous trading : evidence from the Warzaw Stock Exchange

Henke, Harald; Lauterbach, Beni; Weaver, Daniel G. - In: Journal of financial markets 8 (2005) 3, pp. 309-323

Persistent link: https://www.econbiz.de/10003040019

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