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Liquidity and information-based trading on the order driven capital market : the case of the Prague stock exchange
Němček, Libor - 1997
Persistent link: https://www.econbiz.de/10000645684
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Limit order book dynamics and asset liquidity
Pristas, Georg - 2008 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003754583
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A test of efficient market hypothesis for the Muscat Securities Market
Pattanaik, Sitikantha - In: Praj̄nȧn : journal of social and management sciences 36 (2007/08) 2, pp. 99-114
Persistent link: https://www.econbiz.de/10003891553
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A Markov-switching multifractal inter-trade duration model, with application to US equities
Chen, Fei; Diebold, Francis X.; Schorfheide, Frank - In: Journal of econometrics 177 (2013) 2, pp. 320-342
Persistent link: https://www.econbiz.de/10010255140
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Evolutionary computation and artificial financial markets
Martinez-Jaramillo, Serafin; Tsang, Edward P. K. - In: Natural computing in computational finance : volume 2 ; …, (pp. 137-179). 2009
Persistent link: https://www.econbiz.de/10009515155
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How Algorithmic Trading Undermines Efficiency in Capital Markets
Yadav, Yesha - 2016
. It is a bedrock assumption in theory that securities prices reveal how effectively public companies utilize capital. This …
Persistent link: https://www.econbiz.de/10013005016
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How Algorithmic Trading Undermines Efficiency in Capital Markets
Yadav, Yesha - 2016
economy.Theory and regulation have failed to keep pace with markets where traders rely on pre-programmed algorithms to execute …
Persistent link: https://www.econbiz.de/10013006693
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Agent-based simulation of an artificial financial market : effect of short selling on market stability
Bensaid, Khalid; Aboulaich, Rajae - In: Journal of world economic review 15 (2020) 2, pp. 135-144
Persistent link: https://www.econbiz.de/10012631186
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Liquidity and Information-Based Trading on the Order Driven Capital Market : The Case of Prague Stock Exchange
Nemecek, Libor - 2010
This paper investigates the relation between liquidity and information-based trading in the context of an order-driven auction. A model similar in spirit to that of Easley et al. (1996) is used to determine how often new information occurs and how it influences the composition of orders...
Persistent link: https://www.econbiz.de/10013148686
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Equilibrium effects of intraday order-splitting benchmarks
Choi, Jin Hyuk; Larsen, Kasper; Seppi, Duane J. - In: Mathematics and financial economics 15 (2021) 2, pp. 315-352
Persistent link: https://www.econbiz.de/10012500028