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Cont, Rama; Kukanov, Arseniy; Stoikov, Sasha - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 47-88

Persistent link: https://www.econbiz.de/10010233613

Pre-open call auction and price discovery : evidence from India

Rajesh, Acharya H.; Gaikwad, Vishal - In: Cogent economics & finance 2 (2014) 1, pp. 1-11

Premier stock exchanges in India, viz. National Stock Exchange of India and Bombay Stock Exchange, introduced call auction in the pre-open session from 18 October 2010. This paper analyzes the impact of introduction of pre-open call auction on price discovery at the open. Empirical analysis is...

Persistent link: https://www.econbiz.de/10010489768

Uncertain execution in order-driven markets

Sánchez-Betancourt, Leandro - 2021

Persistent link: https://www.econbiz.de/10012939003

High-Frequency Trading (HFT) and market quality research : an evaluation of the alternative HFT proxies

Hossain, Shahadat - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-31

We examine the soundness of high-frequency trading (HFT) proxies that are widely defined on the limit order book (LOB) information. We use a unique TRTH (Thomson Reuters Tick History) millisecond time-stamped intraday trades and quotes dataset enriched with 10 levels of LOB depth messages for...

Persistent link: https://www.econbiz.de/10012818174

Liquidity in high resolution in limit order markets

Pani, Sudhanshu - In: International Journal of Financial Markets and … 8 (2021) 1, pp. 23-49

Persistent link: https://www.econbiz.de/10012510329

A simple microstructural explanation of the concavity of price impact

Nadtochiy, Sergey - In: Mathematical finance : an international journal of … 32 (2022) 1, pp. 78-113

Persistent link: https://www.econbiz.de/10012815948

Industrial organization, order Internalization, and invariance

Bondarenko, Oleg; Obižaeva, Anna; Wang, Yajun - 2020

Persistent link: https://www.econbiz.de/10012494238

Optimal market access pricing

Riccó, Roberto; Rindi, Barbara; Seppi, Duane J. - 2021 - This version: February 3rd, 2021

Persistent link: https://www.econbiz.de/10012495229

Multi-level order-flow imbalance in a limit order book

Xu, Ke; Gould, Martin; Howison, Sam - In: Market microstructure and liquidity 4 (2018) 3/4, pp. 1-41

Persistent link: https://www.econbiz.de/10012227906

Queue imbalance as a one-tick-ahead price predictor in a limit order book

Gould, Martin; Bonart, Julius - In: Market microstructure and liquidity 2 (2016) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10011588243

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