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Determinants of bid and ask quotes and implications for the cost of trading
Zhang, Michael Yuanjie; Russell, Jeffrey R.; Tsay, Ruey S. - In: Journal of empirical finance 15 (2008) 4, pp. 656-678
Persistent link: https://www.econbiz.de/10003759740
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Limit order trading and information asymmetry : empirical evidence about the evolution of liquidity on an order driven market
Allen, David E. (contributor); Yang, Joey W. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003760003
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The dynamics of quote adjustments
Chung, Kee H.; Chuwonganant, Chairat; Jiang, Jing - In: Journal of banking & finance 32 (2008) 11, pp. 2390-2400
Persistent link: https://www.econbiz.de/10003787214
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Relative performance of bid-ask spread estimators : futures market evidence
Anand, Amber; Karagozoglu, Ahmet K. - In: Journal of international financial markets, … 16 (2006) 3, pp. 231-245
Persistent link: https://www.econbiz.de/10003328568
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Option bid-ask spread and scalping risk : evidence from a covered warrants market
Petrella, Giovanni - In: The journal of futures markets 26 (2006) 9, pp. 843-867
Persistent link: https://www.econbiz.de/10003356469
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Using matched samples to test for differences in trade execution costs
Davies, Ryan J.; Kim, Sang Soo - In: Journal of financial markets 12 (2009) 2, pp. 173-202
Persistent link: https://www.econbiz.de/10003848736
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Special section: Asia-Pacific market microstructure
Comerton-Forde, Carole (contributor) - In: Pacific-Basin finance journal 17 (2009) 5, pp. 525-564
Persistent link: https://www.econbiz.de/10003895305
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Finite sample accuracy of integrated volatility estimators
Nielsen, Morten Ørregaard; Frederiksen, Per - 2005
We consider the properties of three estimation methods for integrated volatility, i.e. realized volatility, the Fourier estimator, and the wavelet estimator, when a typical sample of high-frequency data is observed. We employ several different generating mechanisms for the instantaneous...
Persistent link: https://www.econbiz.de/10003919701
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Price, trade size, and information revelation in multi-period securities markets
Ozsoylev, Han N.; Takayama, Shino - In: Journal of financial markets 13 (2010) 1, pp. 49-76
Persistent link: https://www.econbiz.de/10003935476
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Liquidity biases in asset pricing tests
Asparouhova, Elena; Bessembinder, Hendrik; Kalcheva, Ivalina - In: Journal of financial economics 96 (2010) 2, pp. 215-237
Persistent link: https://www.econbiz.de/10003979145