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On frequent batch auctions for stocks
Jagannathan, Ravi - In: Journal of financial econometrics 20 (2022) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10012878116
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Who supplies liquidity, how and when?
Biais, Bruno; Declerck, Fany; Moinas, Sophie - 2017
Persistent link: https://www.econbiz.de/10012266229
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Toward a fully continuous exchange
Kyle, Albert S.; Lee, Jeongmin - In: Oxford review of economic policy 33 (2017) 4, pp. 650-675
Persistent link: https://www.econbiz.de/10011952562
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The deeds of speed : an agent-based model of market liquidity and flash episodes
Kårvik, Geir-Are; Noss, Joseph; Worlidge, Jack; Beale, … - 2018
Persistent link: https://www.econbiz.de/10011919677
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High-frequency trading in the U.S. treasury market around macroeconomic news announcements
Jiang, George J.; Lo, Ingrid; Valente, Giorgio - 2018
Persistent link: https://www.econbiz.de/10012202019
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"Who supplies liquidity, how and when?"
Biais, Bruno; Declerck, Fany; Moinas, Sophie - 2017
Persistent link: https://www.econbiz.de/10011731316
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Catching falling knives : speculating on liquidity shocks
Colliard, Jean-Edouard - In: Management science : journal of the Institute for … 63 (2017) 8, pp. 2573-2591
Persistent link: https://www.econbiz.de/10011741403
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VPIN and the China's circuit-breaker
Zheng, Yameng - In: International journal of economics and finance 9 (2017) 12, pp. 126-133
Persistent link: https://www.econbiz.de/10011782866
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The cost of exposing large institutional orders to electronic liquidity providers
Battalio, Robert H.; Hatch, Brian; Sağlam, Mehmet - In: Management science : journal of the Institute for … 70 (2024) 6, pp. 3597-3618
Persistent link: https://www.econbiz.de/10014551922
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A tale of two cities : inter-market latency and fast-trader competition
Sagade, Satchit; Scharnowski, Stefan; Theissen, Erik; … - 2024 - This version: July 10, 2024
increased contribution to price discovery by the smaller exchange. Liquidity worsens for large caps due to increased sniping but … improves for mid caps due to fast liquidity provision. Trading volume on the smaller exchange declines across all stocks. We …
Persistent link: https://www.econbiz.de/10015065826