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Estimating the probability of informed trading : does trade misclassification matter?

Grammig, Joachim; Theissen, Erik - 2003

Persistent link: https://www.econbiz.de/10001744209

Microstructure invariance in U.S. stock market trades

Kyle, Albert S.; Obižaeva, Anna; Tuzun, Tugkan - In: Journal of financial markets 49 (2020), pp. 1-36

Persistent link: https://www.econbiz.de/10013531193

Splitting orders in overlapping markets : a study of cross-listed stocks

Menkveld, Albert J. - In: Journal of financial intermediation 17 (2008) 2, pp. 145-174

Persistent link: https://www.econbiz.de/10003756030

An econometric investigation between volatility and trading volume of the Helsinki and New York stock exchanges : a firm level approach

Sorjonen, Juha - 1999

Persistent link: https://www.econbiz.de/10001416552

Tick Sizes in Illiquid Order Books

Meling, Tom - 2016

I assess the impact of increasing the tick size on stock liquidity and trading volume in illiquid stocks. Using a regression discontinuity design at the Oslo Stock Exchange, I find that increasing the tick size has no impact on the transaction costs, order book depths, or trading volumes of...

Persistent link: https://www.econbiz.de/10012977463