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A data paradigm to operationalise expanded filtration : realized volatilities and kernels from non-synchronous NASDAQ quotes and trades
Chakravarty, Ranjan R.; Pani, Sudhanshu - In: Journal of quantitative economics 19 (2021) 4, pp. 617-652
Persistent link: https://www.econbiz.de/10012663902
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Algorithmic trading and market quality : evidence from the Taiwan index futures market
Chang, Ya-Kai; Chou, Robin K. - In: The journal of futures markets 42 (2022) 10, pp. 1837-1855
Persistent link: https://www.econbiz.de/10013465825
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High-Frequency trading and market performance
Baldauf, Markus; Mollner, Joshua - 2015
Persistent link: https://www.econbiz.de/10011338245
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High-frequency trading and market performance
Baldauf, Markus; Mollner, Joshua - 2019
Persistent link: https://www.econbiz.de/10012161455
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Elektronisierung des Wertpapierhandels und Informationseffizienz
Lückerath, Evelin - 2003 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001865147
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Topics in empirical market microstructure : measuring the informational content of order flow
Wünsche, Oliver - 2010
Persistent link: https://www.econbiz.de/10008669012
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Dark Trading at the Midpoint : Pricing Rules, Order Flow, and High Frequency Liquidity Provision
Bartlett, Robert P. - 2015
, especially those using high frequency trading (HFT). Trading in dark venues due to a wider MPV reduces volatility and increases …
Persistent link: https://www.econbiz.de/10013020713
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Dark Trading at the Midpoint : Pricing Rules, Order Flow, and High Frequency Liquidity Provision
Bartlett, Robert P, III. - 2015
, especially those using high frequency trading (HFT). Trading in dark venues due to a wider MPV reduces volatility and increases …
Persistent link: https://www.econbiz.de/10012457381
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Asymmetric effects of the limit order book on price dynamics
Cenesizoglu, Tolga; Dionne, Georges; Zhou, Xiaozhou - In: Journal of empirical finance 65 (2022), pp. 77-98
Persistent link: https://www.econbiz.de/10013286401
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Market price determination : Interpreting quote order imbalance under zero-profit equilibrium
Long, Yunshen; Yan, Jingzhou; Wu, Liang; Long, Xingchen - In: Economic modelling 134 (2024), pp. 1-14
Persistent link: https://www.econbiz.de/10014548479