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Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book

Clinet, Simon; Potiron, Yoann - In: Journal of econometrics 209 (2019) 2, pp. 289-337

Persistent link: https://www.econbiz.de/10012302598

Foreign exchange markets with Last Look

Cartea, Álvaro; Jaimungal, Sebastian; Walton, Jamie - In: Mathematics and financial economics 13 (2019) 1, pp. 1-30

Persistent link: https://www.econbiz.de/10012055750

The probability of informed trading measured with price impact, price reversal, and volatility

Kitamura, Yoshihiro - In: Journal of international financial markets, … 42 (2016), pp. 77-90

Persistent link: https://www.econbiz.de/10011673417

Does high frequency algorithmic trading matter for non-AT investors?

Kelejian, Harry H.; Mukerji, Purba - In: Research in international business and finance 37 (2016), pp. 78-92

Persistent link: https://www.econbiz.de/10011595131

Order imbalance and selling aggression under a shorting ban : evidence from the UK

Sifat, Imtiaz Mohammad; Azhar Mohamad - In: International review of financial analysis 42 (2015), pp. 368-379

Persistent link: https://www.econbiz.de/10011573532

Price dynamics and market liquidity : an intraday event study on Euronext

Mazza, Paolo - In: The quarterly review of economics and finance : journal … 56 (2015), pp. 139-153

Persistent link: https://www.econbiz.de/10011574367

High frequency market microstructure

O'Hara, Maureen - In: Journal of financial economics 116 (2015) 2, pp. 267-270

Persistent link: https://www.econbiz.de/10011348519

Algorithmic trading : intraday profitability and trading behavior

Arumugam, Devika - In: Economic modelling 128 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014464406

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 - 2020

endogeneity, we find increased volatility and higher order book depth at the best bid and ask prices, while total depth is not …

Persistent link: https://www.econbiz.de/10014153455

Measuring Price Impact and Information Content of Trades in a Time-Varying Setting

Campigli, Francesco; Bormetti, Giacomo; Lillo, Fabrizio - 2023

The estimation of market impact is crucial for measuring the information content of trades and for transaction cost analysis. Hasbrouck's (1991) seminal paper proposed a Structural-VAR (S-VAR) to jointly model mid-quote changes and trade signs. Recent literature has highlighted some pitfalls of...

Persistent link: https://www.econbiz.de/10014255241