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Liquidity and impact in fair markets

Jaisson, Thibault - In: Market microstructure and liquidity 1 (2015) 2, pp. 1-20

Persistent link: https://www.econbiz.de/10011588225

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

Large bets and stock market crashes

Kyle, Albert S.; Obižaeva, Anna - In: Review of finance : journal of the European Finance … 27 (2023) 6, pp. 2163-2203

Persistent link: https://www.econbiz.de/10014445768

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

Order characteristics and the sources of commonality in prices and liquidity

Corwin, Shane Anthony; Lipson, Marc - In: Journal of financial markets 14 (2011) 1, pp. 47-81

Persistent link: https://www.econbiz.de/10009267113

Order exposure and liquidity coordination : does hidden liquidity harm price efficiency?

Cebiroglu, Gökhan; Hautsch, Nikolaus; Horst, Ulrich - 2014

We develop a model of an order-driven exchange competing for order flow with off-exchange trading mechanisms. Liquidity … additional trade demand. We show, in equilibrium, hiding trade intentions can induce mis-coordination between liquidity supply … in prices and order flow after periods of high excess-supply of hidden liquidity. …

Persistent link: https://www.econbiz.de/10010411280

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

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

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

Liquidity in high resolution in limit order markets

Pani, Sudhanshu - In: International Journal of Financial Markets and … 8 (2021) 1, pp. 23-49

Persistent link: https://www.econbiz.de/10012510329

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