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Market microstructure invariance : empirical hypotheses

Kyle, Albert S.; Obižaeva, Anna - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 4, pp. 1345-1404

Persistent link: https://www.econbiz.de/10011611092

Geometric no-arbitrage analysis in the dynamic financial market with transaction costs

Tang, Wanxiao; Zhao, Jun; Zhao, Peibiao - In: Journal of risk and financial management : JRFM 12 (2019) 1/26, pp. 1-17

The present paper considers a class of financial market with transaction costs and constructs a geometric no-arbitrage analysis frame. Then, this paper arrives at the fact that this financial market is of no-arbitrage if and only if the curvature 2-form of a specific connection is zero....

Persistent link: https://www.econbiz.de/10012022342

Concentration and liquidity costs in emerging commodity exchanges

Costa Jr, Geraldo; Trujillo-Barrera, Andres; Pennings, … - In: Journal of agricultural and resource economics : JARE ; … 43 (2018) 3, pp. 441-456

Persistent link: https://www.econbiz.de/10011960984

Strategic insider trading equilibrium with a non-fiduciary market maker

Aase, Knut K.; Øksendal, Bernt K. - 2019

Persistent link: https://www.econbiz.de/10012178138

Price setting of market makers : a filtering problem with endogenous filtration

Kühn, Christoph; Riedel, Matthias - In: Mathematical finance : an international journal of … 27 (2017) 1, pp. 251-275

Persistent link: https://www.econbiz.de/10011739454

Order types and natural price change : model and empirical study of the Chinese market

Liu, Siyu; Zhao, Chaoyi; Wu, Lan - In: International journal of financial engineering 9 (2022) 4, pp. 1-32

Persistent link: https://www.econbiz.de/10014234454

A span of continuous trades and liquidity dynamics in foreign exchange markets

Chien, Chih-Chung; Chen, Shikuan; Chang, Ming-Jen - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 144-168

Persistent link: https://www.econbiz.de/10014253161

Credit rating agencies, information asymmetry and US bond liquidity

Lovo, Stefano M.; Raimbourg, Philippe; Salvadè, Federica - 2022

Persistent link: https://www.econbiz.de/10014479911

Modeling bid and ask price dynamics with an extended hawkes process and its empirical applications for high-frequency stock market data

Lee, Kyungsub; Seo, Byoung Ki - In: Journal of financial econometrics 21 (2023) 4, pp. 1099-1142

Persistent link: https://www.econbiz.de/10014391445

Credit rating agencies, information asymmetry and US bond liquidity

Lovo, Stefano M.; Raimbourg, Philippe; Salvadè, Federica - In: Journal of business finance & accounting : JBFA 49 (2022) 9/10, pp. 1863-1896

Persistent link: https://www.econbiz.de/10013468732