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Order imbalance and selling aggression under a shorting ban : evidence from the UK

Sifat, Imtiaz Mohammad; Azhar Mohamad - In: International review of financial analysis 42 (2015), pp. 368-379

Persistent link: https://www.econbiz.de/10011573532

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

Microstructure invariance in U.S. stock market trades

Kyle, Albert S.; Obizhaeva, Anna A.; Tuzun, Tugkan - 2016

Persistent link: https://www.econbiz.de/10011633492

Microstructures, financial reforms and informational efficiency in an emerging market

Arjoon, Vaalmikki - In: Research in international business and finance 36 (2016), pp. 112-126

Persistent link: https://www.econbiz.de/10011594282

Does high frequency algorithmic trading matter for non-AT investors?

Kelejian, Harry H.; Mukerji, Purba - In: Research in international business and finance 37 (2016), pp. 78-92

Persistent link: https://www.econbiz.de/10011595131

Trading and ordering patterns of market participants in high frequency trading environment : empirical study in the Japanese stock market

Saito, Taiga; Adachi, Takanori; Nakatsuma, Teruo; … - In: Asia-Pacific financial markets 25 (2018) 3, pp. 179-220

Persistent link: https://www.econbiz.de/10012033008

Point and density prediction of intra-day volume using Bayesian linear ACV models : evidence from the Polish stock market

Huptas, Roman - In: Quantitative finance 18 (2018) 5, pp. 749-760

Persistent link: https://www.econbiz.de/10011907915

An agent-based model of intra-day financial markets dynamics

Staccioli, Jacopo; Napoletano, Mauro - 2018

of linear autocorrelation, volatility clustering), trading volumes (volume clustering, correlation between volume and … volatility), and timing of trades (number of price changes, autocorrelation of durations between subsequent trades, heavy tail in …

Persistent link: https://www.econbiz.de/10011863031

Asymmetric relationship between order imbalance and realized volatility : evidence from the Australian market

Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Do, … - In: International review of economics & finance : IREF 62 (2019), pp. 309-320

Persistent link: https://www.econbiz.de/10012205552

Ultra-fast activity and intraday market quality

Cartea, Álvaro; Payne, Richard; Penalva, José; Tapia, … - In: Journal of banking & finance 99 (2019), pp. 157-181

Persistent link: https://www.econbiz.de/10012162376

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