Similar Search Results - EconBiz

Executing large orders in a microscopic market model

Weiss, Alexander - 2009

Persistent link: https://www.econbiz.de/10003861643

The impact of hidden liquidity in limit order books

Frey, Stefan; Sandås, Patrik - 2008

We report evidence that the presence of hidden liquidity is associated with greater liquidity in the order books, greater trading volume, and smaller price impact. Limit and market order submission behavior changes when hidden liquidity is present consistent with at least some traders being able...

Persistent link: https://www.econbiz.de/10003863908

Are market makers uninformed and passive? Signing trades in the absence of quotes

Wel, Michel van der; Menkveld, Albert J.; Sarkar, Asani - 2009

Persistent link: https://www.econbiz.de/10003851141

Using high-frequency transaction data to estimate the probability of informed trading

Tay, Anthony S. A.; Ting, Christopher; Tse, Yiu Kuen; … - In: Journal of financial econometrics : official journal of … 7 (2009) 3, pp. 288-311

Persistent link: https://www.econbiz.de/10003884192

Measuring the resiliency of an electronic limit order book

Large, Jeremy - In: Journal of financial markets 10 (2007) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10003412607

Finanzmarktmanipulationen am Beispiel von Futures bei symmetrischer Information

Haaf, Holger M. - 2007 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003420273

Heterogenous beliefs under different market architectures

Anufriev, Mikhail; Panchenko, Valentyn - In: Advances in artificial economics : the economy as a …, (pp. 3-15). 2006

Persistent link: https://www.econbiz.de/10003480656

Discriminatory limit order books, uniform price clearing and optimality

Glosten, Lawrence R. - In: Advances in quantitative analysis of finance and … 3 (2006), pp. 3-17

Persistent link: https://www.econbiz.de/10003424660

A nonlinear structural model for volatility clustering

Gaunersdorfer, Andrea; Hommes, Cars H. - In: Long memory in economics : with 50 tables, (pp. 265-288). 2006

Persistent link: https://www.econbiz.de/10003375647

Volatility clustering in financial markets : empirical facts and agent-based models

Cont, Rama - In: Long memory in economics : with 50 tables, (pp. 289-309). 2006

Persistent link: https://www.econbiz.de/10003375648

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