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Daily Herding and Commonality in Liquidity on a Pure Limit Order Book Market
Edgar, Matthew - 2011
Pervasive herding may cause homogenous trading patterns, both within and across stocks and thus may impact upon an … important aspect of the market microstructure – liquidity. Potentially, herding could simultaneously affect the liquidity of … both individual stocks and that of the market. For this reason, herding is investigated as a potential cause of …
Persistent link: https://www.econbiz.de/10013121143
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Why is equity order flow so persistent?
Tóth, Bence; Palit, Imon; Lillo, Fabrizio; Farmer, J. Doyne - In: Journal of economic dynamics & control 51 (2015), pp. 218-239
Persistent link: https://www.econbiz.de/10011474393
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Three essays in financial economics
Jurkatis, Simon Willi - 2018
Persistent link: https://www.econbiz.de/10012169133
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The price impact of order book events
Cont, Rama; Kukanov, Arseniy; Stoikov, Sasha - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 47-88
Persistent link: https://www.econbiz.de/10010233613
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Price discovery in the U.S. Treasury cash market : on principal trading firms and dealers
Harkrader, James Collin; Puglia, Michael - 2020
Persistent link: https://www.econbiz.de/10012389832
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Central bank policy announcements and changes in trading behavior : evidence from bond futures high frequency price data
Kamada, Koichiro; Kurosaki, Tetsuo; Miura, Ko; Yamada, … - 2018
Persistent link: https://www.econbiz.de/10013347266
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Central bank policy announcements and changes in trading behavior : evidence from bond futures high frequency price data
Kamada, Koichiro; Kurosaki, Tetsuo; Miura, Ko; Yamada, … - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-27
Persistent link: https://www.econbiz.de/10013413462
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Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps
Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013
We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...
Persistent link: https://www.econbiz.de/10010256970
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Liquidity fluctuations and the latent dynamics of price impact
Mertens, Luca Philippe; Ciacci, Alberto; Lillo, Fabrizio; … - In: Quantitative finance 22 (2022) 1, pp. 149-169
Persistent link: https://www.econbiz.de/10012872529
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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