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Price revelation from insider trading : evidence from hacked earnings news
Akey, Pat; Grégoire, Vincent; Martineau, Charles - In: Journal of financial economics 143 (2022) 3, pp. 1162-1184
Persistent link: https://www.econbiz.de/10013402156
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Price discovery and liquidity recovery : forex market reactions to macro announcements
Yamada, Masahiro; Itō, Takatoshi - In: Journal of international money and finance 120 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10013417335
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Foreign investors, private information, and price discovery
Cai, Jun; Ho, Richard Yan-ki; Zhang, Zheng - In: International review of economics & finance : IREF 80 (2022), pp. 506-525
Persistent link: https://www.econbiz.de/10013342080
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Understanding the impacts of dark pools on price discovery
Ye, Linlin - In: Journal of financial markets 68 (2024), pp. 1-39
Persistent link: https://www.econbiz.de/10014491076
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Tick size, competition for liquidity provision, and price discovery : evidence from the u.s. treasury market
Fleming, Michael J.; Nguyen, Giang H.; Ruela, Francisco - In: Management science : journal of the Institute for … 70 (2024) 1, pp. 332-354
Persistent link: https://www.econbiz.de/10014470002
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Microstructure and high-frequency price discovery in the soybean complex
Zhou, Xinquan; Bagnarosa, Guillaume; Gohin, Alexandre; … - In: Journal of commodity markets 30 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014426684
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An econometric analysis of volatility discovery
Dias, Gustavo Fruet; Papailias, Fotis; Scherrer, Cristina - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 1095-1106
Persistent link: https://www.econbiz.de/10015053535
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Price discovery share : an order invariant measure of price discovery
Shen, Shulin; Sultan, Syed Galib; Zivot, Eric - In: Finance research letters 67 (2024) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10015061427
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Need for speed? : exchange latency and liquidity
Menkveld, Albert J.; Zoican, Marius A. - 2014
Speeding up the exchange does not necessarily improve liquidity. The price quotes of high-frequency market makers are more likely to meet speculative high-frequency "bandits", thus less likely to meet liquidity traders. The bid-ask spread is raised in response. The recursive dynamic model...
Persistent link: https://www.econbiz.de/10010384388
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A theory of "auction as a search" in speculative markets
Pani, Sudhanshu - In: International Journal of Financial Markets and … 7 (2020) 4, pp. 337-374
Persistent link: https://www.econbiz.de/10012510321