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The market impact puzzle
Kyle, Albert S.; Obižaeva, Anna - 2020
Persistent link: https://www.econbiz.de/10012494214
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Intraday trading invariancein the E-mini S&P 500 futures market
Andersen, Torben; Bondarenko, Oleg; Kyle, Albert S.; … - 2020
Persistent link: https://www.econbiz.de/10012494219
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Who supplies liquidity, how and when?
Biais, Bruno; Declerck, Fany; Moinas, Sophie - 2017
Persistent link: https://www.econbiz.de/10012266229
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The dynamics of low-frequency liquidity measures : the developed versus the emerging market
Będowska-Sójka, Barbara - In: Journal of financial stability 42 (2019), pp. 136-142
Persistent link: https://www.econbiz.de/10012259903
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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
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The impact of reduced pre-trade transparency regimes on market quality
Kovaleva, Polina; Iori, Giulia - In: Journal of economic dynamics & control 57 (2015), pp. 145-162
Persistent link: https://www.econbiz.de/10011574605
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Liquidity estimates and selection bias
Obizhaeva, Anna - 2012
Persistent link: https://www.econbiz.de/10011633483
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Comprehensive market microstructure model : considering the inventory holding costs
Ryu, Doojin - In: Journal of business economics and management 18 (2017) 2, pp. 183-201
Persistent link: https://www.econbiz.de/10011721742
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The impacts of tick size on performance of stock market : evidences from Taiwan’s 50 index stocks
Huang, Chung-huang; Chen, Li-Ping; Li, Jian-fa; Hong, … - In: The empirical economics letters : a monthly … 15 (2016) 2, pp. 191-204
Persistent link: https://www.econbiz.de/10011580418
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Discerning information from trade data
Easley, David; López de Prado, Marcos M.; O'Hara, Maureen - In: Journal of financial economics 120 (2016) 2, pp. 269-285
Persistent link: https://www.econbiz.de/10011590080