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Internet, noise trading and commodity futures prices

Peri, Massimo; Vandone, Daniela; Baldi, Lucia - In: International review of economics & finance : IREF 33 (2014), pp. 82-89

Persistent link: https://www.econbiz.de/10010531284

Fact or friction : jumps at ultra high frequency

Christensen, Kimberly; Oomen, Roel C. A.; Podolskij, Mark - In: Journal of financial economics 114 (2014) 3, pp. 576-599

Persistent link: https://www.econbiz.de/10010532687

Evidence of microstructure variables' nonlinear dynamics from noised high-frequency data

Andreev, Nikolay; Lapshin, Victor - In: Financial econometrics and empirical market microstructure, (pp. 13-23). 2015

Persistent link: https://www.econbiz.de/10011326759

Preaveraging-based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence

Hautsch, Nikolaus; Podolskij, Mark - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 165-183

Persistent link: https://www.econbiz.de/10009754008

Insider trading, stochastic liquidity and equilibrium prices

Collin-Dufresne, Pierre; Fos, Vyacheslav - 2012

Persistent link: https://www.econbiz.de/10009666677

Noise trader risk : the case of Jewish Colonial Trust and Bank Leumi Stocks

Levy, Tamir; Yagil, Joseph - In: Applied financial economics 22 (2012) 10/12, pp. 911-922

Persistent link: https://www.econbiz.de/10009624956

The role of institutions in price correction : evidence from intraday noise trading in Taiwan

Lee, Chun I.; Chou, Robin K.; Hsieh, Edward S.; … - In: Applied financial economics 22 (2012) 22/24, pp. 2009-2025

Persistent link: https://www.econbiz.de/10009719308

Fundamental traders' "tragedy of the commons" : information costs and other determinants for the survival of experts and noise traders in financial markets

Witte, Björn-Christopher - In: Economic modelling 32 (2013), pp. 377-385

Persistent link: https://www.econbiz.de/10009762147

Investment noise and trends

Stambaugh, Robert F. - 2014

Persistent link: https://www.econbiz.de/10010360079

Common price and volatility jumps in noisy high-frequency data

Bibinger, Markus; Winkelmann, Lars - 2014

We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency tick-data and is robust to market microstructure frictions. To localize volatility jumps, we design and analyze a nonparametric...

Persistent link: https://www.econbiz.de/10010384595

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