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Empirical market microstructure : the institutions, economics and econometrics of securities trading
Hasbrouck, Joel - 2007
Persistent link: https://www.econbiz.de/10003274162
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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
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Commonalities in the order book
Beltran Lopez, Helena (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002793179
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Evolutionary reinforcement learning in FX order book and order flow analysis
Bates, R. G.; Dempster, Michael A. H.; Medova, E. A.; … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001776997
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Strategic trading in illiquid markets
Mönch, Burkart - 2005
Persistent link: https://www.econbiz.de/10002581606
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Correlation of order flow and the probability of informed trading
Henke, Harald - 2004
Persistent link: https://www.econbiz.de/10002464553
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Trading activity and liquidity supply in a pure limit order book market : an empirical analysis using a multivariate count data model
Grammig, Joachim; Heinen, Andréas; Rengifo, Erick W. - 2004
Persistent link: https://www.econbiz.de/10002390653
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Decision rules and their influence on asset prices
Trifan, Emanuela (contributor) - 2004
This paper develops a market microstructure model with asymmetric information in order to quantify the influence which practical decision rules have on asset process. The users of practical decision rules have incomplete information at their disposal and trade in a market with both fully...
Persistent link: https://www.econbiz.de/10002510099
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A note on execution costs for stock index futures : information versus liquidity effects
Berkman, Henk; Brailsford, Timothy J.; Frino, Alex - In: Journal of banking & finance 29 (2005) 3, pp. 565-577
Persistent link: https://www.econbiz.de/10002516846
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Essays on the microstructure of stock markets : empirical evidence from trading arrangements without dealer intermediation
Næs, Randi - 2005
Persistent link: https://www.econbiz.de/10003122300