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Chen, Yu-Lun; Gau, Yin-feng - In: The journal of futures markets 42 (2022) 8, pp. 1549-1572

Persistent link: https://www.econbiz.de/10013288004

Price discovery, order submission, and tick size during preopen period

Xiao, Xijuan; Yamamoto, Ryuichi - In: Pacific-Basin finance journal 63 (2020), pp. 1-19

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Intraday jumps, liquidity, and U.S. macroeconomic news : evidence from exchange traded funds

Jurdi, Doureige J. - In: Journal of risk and financial management : JRFM 13 (2020) 6/118, pp. 1-20

This paper uses two highly liquid S&P 500 and gold exchange-traded funds (ETFs) to evaluate the impact of liquidity and macroeconomic news surprises on the frequency of observing intraday jumps. It explicitly addresses market microstructure noise-induced biases in realized estimators used in...

Persistent link: https://www.econbiz.de/10012305143

Latency in fragmented markets

Lee, Tomy - In: Review of economic dynamics 33 (2019), pp. 128-153

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Why do carbon prices and price volatility change?

Ibrahim, Boulis Maher; Kalaitzoglou, Iordanis Angelos - In: Journal of banking & finance 63 (2016), pp. 76-94

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How well does the weighted price contribution measure price discovery?

Wang, Jian-xin; Yang, Minxian - In: Journal of economic dynamics & control 55 (2015), pp. 113-129

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Intraday price discovery analysis in the foreign exchange market of an emerging economy : Mexico

Martinez, Valeria; Tse, Yiuman - In: Research in international business and finance 45 (2018), pp. 271-284

Persistent link: https://www.econbiz.de/10011983258

The interactions between price discovery, liquidity and algorithmic trading for U.S.-Canadian cross-listed shares

Frijns, Bart; Indriawan, Ivan; Tourani Rad, Alireza - In: International review of financial analysis 56 (2018), pp. 136-152

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Intraday price discovery in fragmented markets

Ozturk, Sait R.; Wel, Michel van der; Dijk, Dick van - In: Journal of financial markets 32 (2017), pp. 28-48

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Informed trading and the price impact of block trades : a high frequency trading analysis

Sun, Yuxin; Ibikunle, Gbenga - In: International review of financial analysis 54 (2017), pp. 114-129

Persistent link: https://www.econbiz.de/10011878187