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Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970

A reverse index futures split effect on liquidity and market dynamics

Athanasios, Fassas; Nikolas, Hourvouliades - In: International journal of bonds and derivatives 3 (2017) 3, pp. 235-252

Persistent link: https://www.econbiz.de/10011875992

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

Limit order book dynamics and asset liquidity

Pristas, Georg - 2008 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003754583

Commonality in liquidity

Chordia, Tarun; Roll, Richard; Subrahmanyam, Avanidhar - In: Stock market liquidity : implications for market …, (pp. 327-348). 2008

Persistent link: https://www.econbiz.de/10003650781

Dynamic causality between intraday return and order imbalance in NASDAQ speculative top gainers

Su, Yong-chern; Huang, HanChing - In: Applied financial economics 18 (2008) 16/18, pp. 1489-1499

Persistent link: https://www.econbiz.de/10003779567

On the importance of timing specifications in market microstructure research

Henker, Thomas; Wang, Jian-xin - In: Journal of financial markets 9 (2006) 2, pp. 162-179

Persistent link: https://www.econbiz.de/10003326696

Block trade price asymmetry and changes in depth : evidence from the Australian Stock Exchange

Anderson, Hamish D.; Cooper, Sapphire; Prevost, Andrew K. - In: The financial review : the official publication of the … 41 (2006) 2, pp. 247-271

Persistent link: https://www.econbiz.de/10003327460

The impact of preferencing on execution quality

He, Chen; Odders-White, Elizabeth R.; Ready, Mark J. - In: Journal of financial markets 9 (2006) 3, pp. 246-273

Persistent link: https://www.econbiz.de/10003357662

Electronic trading in stock markets

Stoll, Hans R. - In: The journal of economic perspectives : EP ; a journal … 20 (2006) 1, pp. 153-174

Persistent link: https://www.econbiz.de/10003317146