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11
State dependent correlation and lead-lag relation when
volatility
of markets is large : evidence from the US and Asian emerging markets
Huang, Bwo-nung
;
Sohng, Soong-nark
;
Yang, Chin-wei
- In:
Journal of economic development
24
(
1999
)
2
,
pp. 57-77
Persistent link: https://www.econbiz.de/10001468679
Saved in:
12
Dynamic relations between order imbalance,
volatility
and return of top gainers
Su, Yong-chern
;
Huang, Han-Ching
;
Lin, Shiue-Fang
- In:
Applied economics
44
(
2012
)
10/12
,
pp. 1509-1519
Persistent link: https://www.econbiz.de/10009525251
Saved in:
13
Intraday linkages across international equity markets
Harju, Kari
(
contributor
);
Hussain, Syed Mujahid
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003351860
Saved in:
14
Invariance in buy-sell switching points
Bae, Kyoung-hun
;
Bondarenko, Oleg
;
Lee, Eun Jung
; …
-
2020
Persistent link: https://www.econbiz.de/10012494223
Saved in:
15
Industrial organization, order Internalization, and invariance
Bondarenko, Oleg
;
Obižaeva, Anna
;
Wang, Yajun
-
2020
Persistent link: https://www.econbiz.de/10012494238
Saved in:
16
The behavior of high-frequency traders under different market stress scenarios
Megarbane, Nicolas
;
Saliba, Pamela
;
Lehalle, Charles-Albert
- In:
Market microstructure and liquidity
3
(
2017
)
3/4
,
pp. 1-54
Persistent link: https://www.econbiz.de/10011988891
Saved in:
17
Estimating probability of informed trading on the Bucharest stock exchange
Cepoi, Cosmin Octavian
;
Toma, Filip Mihai
- In:
Finance a úvěr
66
(
2016
)
2
,
pp. 140-160
Persistent link: https://www.econbiz.de/10011618713
Saved in:
18
Duration, trading volume and the price impact of trades in an emerging futures market
Bowe, Michael
;
Hyde, Stuart
;
McFarlane, Lavern
- In:
Emerging markets review
17
(
2013
),
pp. 89-105
Persistent link: https://www.econbiz.de/10010243112
Saved in:
19
The role of daytime stock auctions in intraday return seasonality
Serikova, Ekaterina
-
2019
volatility
, I conclude that after-auction periods take over a large share of infrequent rebalancing, being attractive for a …
Persistent link: https://www.econbiz.de/10012101493
Saved in:
20
Extension and calibration of a Hawkes-based optimal execution model
Alfonsi, Aurélien
;
Blanc, Pierre
- In:
Market microstructure and liquidity
2
(
2016
)
2
,
pp. 1-55
Persistent link: https://www.econbiz.de/10011588251
Saved in:
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