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Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
Clinet, Simon; Potiron, Yoann - In: Journal of econometrics 209 (2019) 2, pp. 289-337
Persistent link: https://www.econbiz.de/10012302598
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Determinants of bid and ask quotes and implications for the cost of trading
Zhang, Michael Yuanjie; Russell, Jeffrey R.; Tsay, Ruey S. - In: Journal of empirical finance 15 (2008) 4, pp. 656-678
Persistent link: https://www.econbiz.de/10003759740
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Limit order trading and information asymmetry : empirical evidence about the evolution of liquidity on an order driven market
Allen, David E. (contributor); Yang, Joey W. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003760003
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The dynamics of quote adjustments
Chung, Kee H.; Chuwonganant, Chairat; Jiang, Jing - In: Journal of banking & finance 32 (2008) 11, pp. 2390-2400
Persistent link: https://www.econbiz.de/10003787214
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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
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Adverse-selection costs and the probability of information-based trading
Chung, Kee H.; Li, Mingsheng - In: The financial review : the official publication of the … 38 (2003) 2, pp. 257-272
Persistent link: https://www.econbiz.de/10001794880
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Scheduled macro-news effects on a Euro/US dollar limit order book around the 2008 financial crisis
Ben Omrane, Walid; Tao, Yusi; Welch, Robert L. - In: Research in international business and finance 42 (2017), pp. 9-30
Persistent link: https://www.econbiz.de/10011747218
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Microstructure invariance in U.S. stock market trades
Kyle, Albert S.; Obižaeva, Anna; Tuzun, Tugkan - In: Journal of financial markets 49 (2020), pp. 1-36
Persistent link: https://www.econbiz.de/10013531193
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Who sees the trades? : the effect of information on liquidity in inter-dealer markets
Garratt, Rod; Lee, Michael Junho; Martin, Antoine; … - 2019
Dealers, who strategically supply liquidity to traders, are subject to both liquidity and adverse selection costs. While liquidity costs can be mitigated through inter-dealer trading, individual dealers' private motives to acquire information compromise inter-dealer market liquidity. Post-trade...
Persistent link: https://www.econbiz.de/10012038817
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Analyzing specialist's quoting behaviour : a trade-by-trade study on the NYSE
Nyholm, Ken - 1999
Persistent link: https://www.econbiz.de/10001455818