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61
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61
Liquidity fluctuations and the latent dynamics of price impact
Mertens, Luca Philippe
;
Ciacci, Alberto
;
Lillo, Fabrizio
; …
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 149-169
Persistent link: https://www.econbiz.de/10012872529
Saved in:
62
Feedback trading in currency markets : international evidence
Tayeh, Mohammad
;
Kallinterakis, Vasileios
- In:
The journal of behavioral finance : a publication of …
23
(
2022
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012802007
Saved in:
63
High-frequency trading and stock liquidity : an intraday analysis
Ben Ammar, Imen
;
Hellara, Slaheddine
;
Ghadhab, Imen
- In:
Research in international business and finance
53
(
2020
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012549814
Saved in:
64
High-dimensional statistical learning techniques for time-varying limit order book networks
Chen, Shi
;
Härdle, Wolfgang
;
Schienle, Melanie
-
2021
This paper provides statistical learning techniques for determining the full own-price market impact and the relevance and effect of cross-price and cross-asset spillover channels from intraday transactions data. The novel tools allow extracting comprehensive information contained in the limit...
Persistent link: https://www.econbiz.de/10012614016
Saved in:
65
Reducing transaction costs using intraday forecasts of limit order book slopes
Ahabchane, Chahid
;
Cenesizoglu, Tolga
;
Grass, Gunnar
; …
-
2021
Persistent link: https://www.econbiz.de/10012615644
Saved in:
66
Market Microstructure and the Risks of High-Frequency Trading
Aldridge, Irene
-
2013
market manipulation, the highest
volatility
and probability of market crashes, yet the highest liquidity. The so … detect spoofing market manipulation, lower
volatility
and probability of market crashes, but lower liquidity levels. Finally …
Persistent link: https://www.econbiz.de/10013079007
Saved in:
67
When overconfident traders meet feedback traders
Boco, Herve
;
Germain, Laurent
;
Rousseau, Fabrice
- In:
Finance : revue de l'Association Française de Finance
42
(
2021
)
3
,
pp. 7-55
Persistent link: https://www.econbiz.de/10012792321
Saved in:
68
An international trend in market design : endogenous effects of limit order book transparency on
volatility
, spreads, depth and volume
Pham, Thu Phuong
;
Westerholm, P. Joakim
-
2013
Persistent link: https://www.econbiz.de/10010211416
Saved in:
69
High Frequency Market Microstructure Noise Estimates and Liquidity Measures
Ait-Sahalia, Yacine
-
2008
Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstructure noise component. We then relate these statistical measurements of market microstructure...
Persistent link: https://www.econbiz.de/10012464822
Saved in:
70
Dynamic predictor selection and order splitting in a limit order market
Yamamoto, Ryuichi
- In:
Macroeconomic dynamics
23
(
2019
)
5
,
pp. 1757-1792
Persistent link: https://www.econbiz.de/10012127237
Saved in:
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