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Intraday analysis of regulation change in microstructure : evidence from an emerging market
Kadioglu, Eyup - In: International journal of emerging markets 18 (2023) 5, pp. 1216-1235
Persistent link: https://www.econbiz.de/10014333628
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High-frequency cross-market trading : model free measurement and applications
Dobrev, Dobrislav; Schaumburg, Ernst - 2017 - This version: December 30, 2016
Persistent link: https://www.econbiz.de/10012805580
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Market impact : a systematic study of the high frequency options market
Said, Emilio; Bel Hadj Ayed, Ahmed; Thillou, Damien; … - In: Quantitative finance 21 (2021) 1, pp. 69-84
Persistent link: https://www.econbiz.de/10012424634
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Algorithmic trading in turbulent markets
Zhou, Hao; Kalev, Petko S.; Frino, Alex - In: Pacific-Basin finance journal 62 (2020), pp. 1-27
Persistent link: https://www.econbiz.de/10012491255
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High-frequency trading and stock liquidity : an intraday analysis
Ben Ammar, Imen; Hellara, Slaheddine; Ghadhab, Imen - In: Research in international business and finance 53 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012549814
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Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
Clinet, Simon; Potiron, Yoann - In: Journal of econometrics 209 (2019) 2, pp. 289-337
Persistent link: https://www.econbiz.de/10012302598
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Does high frequency algorithmic trading matter for non-AT investors?
Kelejian, Harry H.; Mukerji, Purba - In: Research in international business and finance 37 (2016), pp. 78-92
Persistent link: https://www.econbiz.de/10011595131
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Order imbalance and selling aggression under a shorting ban : evidence from the UK
Sifat, Imtiaz Mohammad; Azhar Mohamad - In: International review of financial analysis 42 (2015), pp. 368-379
Persistent link: https://www.econbiz.de/10011573532
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Algorithmic trading : intraday profitability and trading behavior
Arumugam, Devika - In: Economic modelling 128 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014464406
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An International Trend in Market Design : Endogenous Effects of Limit Order Book Transparency on Volatility, Spreads, Depth and Volume
Pham, Thu Phuong; Westerholm, P. Joakim - 2020
endogeneity, we find increased volatility and higher order book depth at the best bid and ask prices, while total depth is not …
Persistent link: https://www.econbiz.de/10014153455