Similar Search Results

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

Asset prices and institutional investors

Başak, Suleyman; Pavlova, Anna - In: The American economic review 103 (2013) 5, pp. 1728-1758

Persistent link: https://www.econbiz.de/10010244843

Trader performance in a market experiment with human and computerized traders

Angerer, Martin; Huber, Jürgen; Kirchler, Michael - In: Schmalenbach business review : sbr 66 (2014) 3, pp. 224-244

Persistent link: https://www.econbiz.de/10010385086

Limited attention and news arrival in limit order markets

Dugast, Jérôme - 2013

Persistent link: https://www.econbiz.de/10010200015

High frequency traders : taking advantage of speed

Aït-Sahalia, Yacine; Sağlam, Mehmet - 2013

Persistent link: https://www.econbiz.de/10010200028

Regularity of market impact models : time-dependent impact, dark pools and multivariate transient impact

Klöck, Florian - 2013

Persistent link: https://www.econbiz.de/10009786663

Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas

Weiß, Gregor; Supper, Hendrik - In: Journal of banking & finance 37 (2013) 9, pp. 3334-3350

Persistent link: https://www.econbiz.de/10010126429

A case study of short-sale constraints and limits to arbitrage

Easton, Steve; Pinder, Sean; Uylangco, Katherine - In: Journal of banking & finance 37 (2013) 10, pp. 3924-3929

Persistent link: https://www.econbiz.de/10010127422

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

Intraday liquidity patterns in limit order books

Malik, Azeem; Wing Lon Ng - In: Studies in economics and finance 31 (2014) 1, pp. 46-71

Persistent link: https://www.econbiz.de/10010258798