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Trader competition in fragmented markets : liquidity supply versus picking-off risk
Bernales, Alejandro; Garrido, Nicolás; Sagade, Satchit; … - 2020 - This version: June 2020
competition among liquidity suppliers and lower picking-o↵ risk of limit orders. Due to these countervailing channels, the impact … of fragmentation on liquidity and welfare di↵ers with asset volatility: when volatility is high (low), liquidity and …'s predictions about liquidity. Our model reconciles the mixed results in the empirical literature. …
Persistent link: https://www.econbiz.de/10012303325
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High frequency market microstructure
O'Hara, Maureen - In: Journal of financial economics 116 (2015) 2, pp. 267-270
Persistent link: https://www.econbiz.de/10011348519
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Price jump prediction in a limit order book
Zheng, Ban; Moulines, Eric; Abergel, Frédéric - In: Journal of mathematical finance 3 (2013) 2, pp. 242-255
Persistent link: https://www.econbiz.de/10010239589
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Limited attention and news arrival in limit order markets
Dugast, Jérôme - 2013
Persistent link: https://www.econbiz.de/10010200015
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The pre-open call auction trading mechanism and its efficiency : a study on BSE sensex stocks
Mallikarjunappa, T.; Harush, S. N. - In: The IUP journal of applied finance : IJAF 22 (2016) 1, pp. 50-61
Persistent link: https://www.econbiz.de/10011536909
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Limit order book transparency and order aggressiveness at the closing call : lessons from the TWSE 2012 new information disclosure mechanism
Tseng, Yi-Heng; Chen, Shu-Heng - In: Pacific-Basin finance journal 35 (2015) 1, pp. 241-272
Persistent link: https://www.econbiz.de/10011538265
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Optimal execution and price manipulations in time-varying limit order books
Alfonsi, Aurélien; Infante, Arturo - In: Applied mathematical finance 21 (2014) 3/4, pp. 201-237
Persistent link: https://www.econbiz.de/10010499717
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Price efficiency and trading behavior in limit order markets with competing insiders
Stöckl, Thomas - In: Experimental economics : a journal of the Economic … 17 (2014) 2, pp. 314-334
Persistent link: https://www.econbiz.de/10010411216
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Wettbewerb, Liquidität und die Rolle von Intermediation im Wertpapierhandel
Freihube, Thorsten - 2004
Persistent link: https://www.econbiz.de/10002122262
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Modelling financial transaction price movements : a dynamic integer count data model
Liesenfeld, Roman; Nolte, Ingmar; Pohlmeier, Winfried - In: Empirical economics : a journal of the Institute for … 30 (2005) 4, pp. 795-825
Persistent link: https://www.econbiz.de/10003233759