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Liquidity withdrawal in the FX spot market : a cross-country study using high-frequency data

Stenfors, Alexis; Susai, Masayuki - In: Journal of international financial markets, … 59 (2019), pp. 36-57

Persistent link: https://www.econbiz.de/10012127871

Trading and ordering patterns of market participants in high frequency trading environment : empirical study in the Japanese stock market

Saito, Taiga; Adachi, Takanori; Nakatsuma, Teruo; … - In: Asia-Pacific financial markets 25 (2018) 3, pp. 179-220

Persistent link: https://www.econbiz.de/10012033008

Clustering and mean reversion in a Hawkes microstructure model

Fonseca, José da; Zaatour, Riadh - In: The journal of futures markets 35 (2015) 9, pp. 813-838

Persistent link: https://www.econbiz.de/10011392661

The effect of investor sentiment on feedback trading and trading frequency : evidence from Taiwan intraday data

Hu, Wu-Yueh; Huang, Chih-Jen; Chang, Heng-Yu; Lin, Wei-Ju - In: Emerging markets finance & trade : a journal of the … 51 (2015), pp. 111-120

Persistent link: https://www.econbiz.de/10011603397

Rock around the clock : an agent-based model of low- and high-frequency trading

Leal, Sandrine Jacob; Napoletano, Mauro; Roventini, Andrea - In: Journal of evolutionary economics : JEE 26 (2016) 1, pp. 49-76

Persistent link: https://www.econbiz.de/10011606699

Modelling order arrivals at price limits using Hawkes processes

Haghighi, Afshin; Fallahpour, Saeid; Eyvazlu, Reza - In: Finance research letters 19 (2016), pp. 267-272

Persistent link: https://www.econbiz.de/10011657715

Technology upgrades in emerging equity markets : effects on liquidity and trading activity

Yılmaz, Mustafa Kemal; Erdem, Orhan; Eraslan, Veysel; … - In: Finance research letters 14 (2015), pp. 87-92

Persistent link: https://www.econbiz.de/10011552642

When overconfident traders meet feedback traders

Boco, Hervé; Germain, Laurent; Rousseau, Fabrice - 2016

Persistent link: https://www.econbiz.de/10011553073

Large tick assets : implicit spread and optimal tick size

Dayri, Khalil; Rosenbaum, Mathieu - In: Market microstructure and liquidity 1 (2015) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10011588190

Treasury auctions and secondary market dynamics : an analysis based on the MTS market for Italy

Cafiso, Gianluca - 2015

Auctions of government bonds are the main allotment method used by the Treasury of advanced economies. Previous research has found that auctions have an influence on the market yield days before they take place, and underpricing is usually spotted when their outcome is compared with...

Persistent link: https://www.econbiz.de/10010519950

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