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Pirim, Birsel T.; Van Ness, Bonnie F.; Van Ness, Robert A. - In: Banking and finance review 2 (2010) 2, pp. 1-20

Persistent link: https://www.econbiz.de/10008936608

The impact of macroeconomic news on quote adjustments, noise, and informational volatility

Hautsch, Nikolaus; Hess, Dieter; Veredas, David - 2010 - This version: November 2010

We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ("efficient return") factor and two market-side-specific components...

Persistent link: https://www.econbiz.de/10008937568

The impact of heterogeneous trading rules on the limit order book and order flows

Chiarella, Carl; Iori, Giulia; Perelló, Josep - In: Journal of economic dynamics & control 33 (2009) 3, pp. 525-537

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Information revelation in the Greek exchange opening call : daily and intraday evidence

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Persistent link: https://www.econbiz.de/10011475189

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Liquidity biases and the pricing of cross-sectional idiosyncratic volatility around the world

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Chiao, Chaoshin; Hung, Ken; Lee, Cheng F. - In: Journal of empirical finance 11 (2004) 5, pp. 709-731

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The dynamics of dealer markets and trading costs

Chung, Kee H.; Kim, Youngsoo - In: Journal of banking & finance 29 (2005) 12, pp. 3041-3059

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