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Determinants of commonality in liquidity : evidence from an order-driven emerging market

Syamala, Sudhakara Reddy; Wadhwa, Kavita; Goyal, Abhinav - In: The North American journal of economics and finance : a … 42 (2017), pp. 38-52

Persistent link: https://www.econbiz.de/10011938071

Distilling liquidity costs from limit order books

Amaya, Diego; Filbien, Jean-Yves; Okou, Cédric; Roch, … - In: Journal of banking & finance 94 (2018), pp. 16-34

Persistent link: https://www.econbiz.de/10011965700

U.S. Tick Size Pilot

Rindi, Barbara; Werner, Ingrid M. - 2017 - This Draft: September 22, 2017

show that the larger tick size raised the cost for retail-sized liquidity demanding orders by almost fifty percent, and … raised profits to liquidity providers by forty percent. The bulk of the effects occurred for tick-constrained stocks for …

Persistent link: https://www.econbiz.de/10011968847

Optimal liquidation and adverse selection in dark pools

Kratz, Peter; Schöneborn, Torsten - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 177-210

Persistent link: https://www.econbiz.de/10011969158

A simple approximation of intraday spreads using daily data

Chung, Kee H.; Zhang, Hao - In: Journal of financial markets 17 (2014), pp. 94-120

Persistent link: https://www.econbiz.de/10010437266

Optimal trade execution in illiquid markets

Bayraktar, Erhan; Ludkovski, Michael - In: Mathematical finance : an international journal of … 21 (2011) 4, pp. 681-701

Persistent link: https://www.econbiz.de/10009311660

Local market makers, liquidity and market quality

Kedia, Simi; Zhou, Xing - In: Journal of financial markets 14 (2011) 4, pp. 540-567

Persistent link: https://www.econbiz.de/10009260961

Market liquidity in the financial crisis : the role of liquidity commonality and flight-to-quality

Rösch, Christoph G.; Kaserer, Christoph - In: Journal of banking & finance 37 (2013) 7, pp. 2284-2302

Persistent link: https://www.econbiz.de/10009760681

Liquidity and expected returns : evidence from 1926 - 2008

Baradarannia, M. Reza; Peat, Maurice - In: International review of financial analysis 29 (2013), pp. 10-23

Persistent link: https://www.econbiz.de/10010244145

From cents to half-cents and its liquidity impact

Anderson, Hamish D.; Peng, Yuan - In: Pacific accounting review 26 (2014) 3, pp. 160-176

Persistent link: https://www.econbiz.de/10010469080

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