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What drives intraday reversal? : illiquidity or liquidity oversupply?
Kang, Junqing; Lin, Shen; Xiong, Xiong - In: Journal of economic dynamics & control 136 (2022), pp. 1-23
Persistent link: https://www.econbiz.de/10013393677
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A simple approximation of intraday spreads using daily data
Chung, Kee H.; Zhang, Hao - In: Journal of financial markets 17 (2014), pp. 94-120
Persistent link: https://www.econbiz.de/10010437266
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Estimating endogenous liquidity using transaction and order book information
Durand, Philippe; Gündüz, Yalın; Thomazeau, Isabelle - 2012
We distinguish exogenous liquidity, which corresponds to the variability of bid-ask spreads for usual-sized transactions, from endogenous liquidity, which we interpret as the impact of liquidity on market prices when liquidating larger positions. Endogenous liquidity measures the risk that the...
Persistent link: https://www.econbiz.de/10009674768
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Market structure, intermediation and liquidity
Freihube, Thorsten; Krahnen, Jan Pieter; Theissen, Erik - In: German financial markets and institutions: selected studies, (pp. 255-274). 2002
Persistent link: https://www.econbiz.de/10001705567
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Estimating endogenous liquidity using transaction and order book information
Durand, Philippe; Gündüz, Yalın; Thomazeau, Isabelle - In: Advances in financial risk management : corporates, …, (pp. 181-200). 2013
Persistent link: https://www.econbiz.de/10010213086
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New bid-ask spread estimators from daily high and low prices
Li, Zhiyong; Lambe, Brendan; Adegbite, Emmanuel - In: International review of financial analysis 60 (2018), pp. 69-86
Persistent link: https://www.econbiz.de/10012007516
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Information content of order imbalance in an order-driven market : Indian evidence
Tripathi, Abhinava; Dixit, Alok; Vipul - In: Finance research letters 41 (2021), pp. 1-10
Persistent link: https://www.econbiz.de/10013336223
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The intraday determination of liquidity in the NYSE LIFFE equity option markets
Verousis, Thanos; Ap Gwilym, Owain; Chen, XiaoHua - In: The European journal of finance 22 (2016) 10/12, pp. 1164-1188
Persistent link: https://www.econbiz.de/10011715335
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Market microstructure invariance : empirical hypotheses
Kyle, Albert S.; Obižaeva, Anna - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 4, pp. 1345-1404
Persistent link: https://www.econbiz.de/10011611092