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A dynamic analysis of the microstucture of moving average rules in a double auction market

Chiarella, Carl; He, Xue-zhong; Pellizzari, Paolo - In: Macroeconomic dynamics 16 (2012) 4, pp. 556-575

Persistent link: https://www.econbiz.de/10009713365

Limit order book and commonality in liquidity

Kang, Wenjin; Zhang, Huiping - In: The financial review : the official publication of the … 48 (2013) 1, pp. 97-122

Persistent link: https://www.econbiz.de/10009717663

Algorithmic trading, liquidity, and price discovery : an intraday analysis of the SPI 200 futures

Viljoen, Tina; Westerholm, P. Joakim; Zheng, Hui - In: The financial review : the official publication of the … 49 (2014) 2, pp. 245-270

Persistent link: https://www.econbiz.de/10010363593

Price jump prediction in a limit order book

Zheng, Ban; Moulines, Eric; Abergel, Frédéric - In: Journal of mathematical finance 3 (2013) 2, pp. 242-255

Persistent link: https://www.econbiz.de/10010239589

Duration, trading volume and the price impact of trades in an emerging futures market

Bowe, Michael; Hyde, Stuart; McFarlane, Lavern - In: Emerging markets review 17 (2013), pp. 89-105

Persistent link: https://www.econbiz.de/10010243112

Resilient price impact of trading and the cost of illiquidity

Roch, Alexandre; Soner, Halil Mete - In: International journal of theoretical and applied finance 16 (2013) 6, pp. 1-27

Persistent link: https://www.econbiz.de/10010197179

Intraday patterns in FX returns and order flow

Breedon, Francis J.; Ranaldo, Angelo - In: Journal of money, credit and banking : JMCB 45 (2013) 5, pp. 953-965

Persistent link: https://www.econbiz.de/10010197597

A mathematical approach to order book modeling

Abergel, Frédéric; Jedidi, Aymen - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-40

Persistent link: https://www.econbiz.de/10009784056

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

Intraday liquidity patterns in limit order books

Malik, Azeem; Wing Lon Ng - In: Studies in economics and finance 31 (2014) 1, pp. 46-71

Persistent link: https://www.econbiz.de/10010258798