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Three essays in market microstructure
Zabotina, Tatyana V. - 2002
Persistent link: https://www.econbiz.de/10003777581
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A simple cost reduction strategy for small liquidity traders : trade at the opening
Brooks, Raymond M. - In: Journal of financial and quantitative analysis : JFQA 32 (1997) 4, pp. 525-540
Persistent link: https://www.econbiz.de/10001234433
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The components of the bid-ask spread : a general approach
Huang, Roger D. - In: The review of financial studies 10 (1997) 4, pp. 995-1034
Persistent link: https://www.econbiz.de/10001229608
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Financial markets performance : theory and empirical evidence
Marquardt, Dirk Steffen - 1998
Persistent link: https://www.econbiz.de/10000671527
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A note on transaction costs and the existence of derivatives markets
Fehle, Frank - In: Journal of economics & business 56 (2004) 1, pp. 63-70
Persistent link: https://www.econbiz.de/10002852704
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Insiderhandel und Optionspreisspannen
Behr, Matina L. - 2000 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001516335
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Hedging costs and joint determinants of premiums and spreads in structured financial products
Entrop, Oliver; Fischer, Georg - 2019
This paper is the first to analyze the joint determinants of premiums and spreads in structured financial products, while also focusing on issuers' hedging costs. We evaluate more than 396,000 single stock discount certificates on an intraday basis in the German secondary market. We find that...
Persistent link: https://www.econbiz.de/10011960799
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Market impact measurement of a VWAP trading algorithm
Fraenkle, Jan; Račev, Svetlozar T.; Scherrer, Christian - In: Journal of risk management in financial institutions 4 (2010/11) 3, pp. 254-274
Persistent link: https://www.econbiz.de/10009271188
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Econometric models of limit-order executions
Lo, Andrew W.; MacKinlay, Archie Craig; Zhang, June - In: Journal of financial economics 65 (2002) 1, pp. 31-71
Persistent link: https://www.econbiz.de/10001690102
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NYSE order flow, spreads, and information
Werner, Ingrid M. - In: Journal of financial markets 6 (2003) 3, pp. 309-335
Persistent link: https://www.econbiz.de/10001757904