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Multi-level order-flow imbalance in a limit order book
Xu, Ke; Gould, Martin; Howison, Sam - In: Market microstructure and liquidity 4 (2018) 3/4, pp. 1-41
Persistent link: https://www.econbiz.de/10012227906
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Comprehensive market microstructure model : considering the inventory holding costs
Ryu, Doojin - In: Journal of business economics and management 18 (2017) 2, pp. 183-201
Persistent link: https://www.econbiz.de/10011721742
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Queue imbalance as a one-tick-ahead price predictor in a limit order book
Gould, Martin; Bonart, Julius - In: Market microstructure and liquidity 2 (2016) 2, pp. 1-35
Persistent link: https://www.econbiz.de/10011588243
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Performance of American and Russian joint stock companies on financial market : a microstructure perspective
Osińska, Magdalena; Dobrzyński, Andrzej; Shachmurove, … - In: Equilibrium : quarterly journal of economics and … 11 (2016) 4, pp. 819-851
Persistent link: https://www.econbiz.de/10011608760
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General semi-Markov model for limit order books
Sviščuk, Anatolij; Hofmeister, Tyler; Cera, Katharina; … - In: International journal of theoretical and applied finance 20 (2017) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10011686928
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The behavior of high-frequency traders under different market stress scenarios
Megarbane, Nicolas; Saliba, Pamela; Lehalle, Charles-Albert - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-54
Persistent link: https://www.econbiz.de/10011988891
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Liquidity in the German stock market
Johann, Thomas; Scharnowski, Stefan; Theissen, Erik; … - 2019
This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We make use of a new publicly available dataset, the Market...
Persistent link: https://www.econbiz.de/10012020325
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Optimal liquidation and adverse selection in dark pools
Kratz, Peter; Schöneborn, Torsten - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 177-210
Persistent link: https://www.econbiz.de/10011969158
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Liquidity in the German stock market
Johann, Thomas; Scharnowski, Stefan; Theissen, Erik; … - In: Schmalenbach business review : sbr 71 (2019) 4, pp. 443-473
Persistent link: https://www.econbiz.de/10012108571
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Price discovery in agricultural futures markets : should we look beyond the best bid-ask spread?
Arzandeh, Mehdi; Frank, Julieta - In: American journal of agricultural economics 101 (2019) 5, pp. 1482-1498
Persistent link: https://www.econbiz.de/10012115735