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Modelling financial transaction price movements : a dynamic integer count data model

Liesenfeld, Roman; Nolte, Ingmar; Pohlmeier, Winfried - In: Empirical economics : a journal of the Institute for … 30 (2005) 4, pp. 795-825

Persistent link: https://www.econbiz.de/10003233759

Predicting future price volatility : empirical evidence from an emerging limit order market

Jain, Pawan; Jiang, Christine X. - In: Pacific-Basin finance journal 27 (2014), pp. 72-93

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The Markov switching ACD model

Hujer, Reinhard - 2002

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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

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Observable consequences of trading structure differences : on the use of variance ratios in microstructure studies

Ronen, Tavy - In: Review of quantitative finance and accounting 20 (2003) 2, pp. 187-200

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The quality of price formation at market openings and closings : evidence from the Nasdaq stock market

Pagano, Michael S.; Peng, Lin; Schwartz, Robert A. - 2008

sharpens the picture of intra-day volatility accentuations: they are concentrated within the first two minutes after the open … Nasdaq’s calls have reduced this volatility, reorganized order flow, and lowered volatility persistence. Opening and closing … innovation -- Opening Price ; Closing Price ; Price Discovery ; Intra-Day Volatility ; Market Microstructure ; Equity Markets …