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Modelling order arrivals at price limits using Hawkes processes

Haghighi, Afshin; Fallahpour, Saeid; Eyvazlu, Reza - In: Finance research letters 19 (2016), pp. 267-272

Persistent link: https://www.econbiz.de/10011657715

The effects of trade size and market depth on immediate price impact in a limit order book market

Manh Cuong Pham; Anderson, Heather Margot; Huu Nhan Duong; … - In: Journal of economic dynamics & control 120 (2020), pp. 1-27

Persistent link: https://www.econbiz.de/10012503902

Broker ID transparency and price impact of trades : evidence from the Korean exchange

Pham, Thu Phuong - In: International journal of managerial finance : IJMF 11 (2015) 1, pp. 117-131

Persistent link: https://www.econbiz.de/10010527436

Order flow segmentation and the role of dark trading in the price discovery of U.S. treasury securities

Fleming, Michael J.; Nguyen, Giang H. - 2013

a mechanism for discovering dark liquidity. We quantify its role in the price formation process in a model of the … dynamics of price and segmented order flow induced by the protocol. We find that the dark liquidity pool generally contains … liquidity providers to guard against adverse price movements than as a channel to hide private information. …

Persistent link: https://www.econbiz.de/10009781862

Commonality in returns, order flows, and liquidity in the Greek stock market

Dunne, Peter G.; Moore, Michael J.; Papavassiliou, … - In: The European journal of finance 17 (2011) 7/8, pp. 577-587

Persistent link: https://www.econbiz.de/10009509845

Bid-ask spread, quoted depths, and unexpected duration between trades

Ruan, Jun Tony; Ma, Tongshu - In: Journal of financial services research : JFSR 51 (2017) 3, pp. 385-436

Persistent link: https://www.econbiz.de/10011777286

Limit order books and trade informativeness

Beltran Lopez, Helena; Gramming, Joachim; Menkveld, … - In: The European journal of finance 18 (2012) 9/10, pp. 737-759

Persistent link: https://www.econbiz.de/10009691782

Duration, trading volume and the price impact of trades in an emerging futures market

Bowe, Michael; Hyde, Stuart; McFarlane, Lavern - In: Emerging markets review 17 (2013), pp. 89-105

Persistent link: https://www.econbiz.de/10010243112

Liquidity risk in limit order book markets

Mayston, Daniel (contributor) - 2006

Persistent link: https://www.econbiz.de/10003494297

Information, liquidity, and dynamic limit order markets

Riccò, Roberto; Rindi, Barbara; Seppi, Duane J. - 2020 - This Version: March, 2020

Persistent link: https://www.econbiz.de/10012200670