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Does the open limit order book matter in explaining long run volatility?
Pascual, Roberto (contributor); Veredas, David (contributor) - 2006
Persistent link: https://www.econbiz.de/10003402411
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Does the open limit order book matter in explaining informational volatility?
Pascual, Roberto; Veredas, David - In: Journal of financial econometrics : official journal of … 8 (2010) 1, pp. 57-87
Persistent link: https://www.econbiz.de/10003997330
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Jumps in option prices and their determinants : real-time evidence from the E-mini S&P 500 options market
Kapetanios, George; Konstantinidi, Eirini; Neumann, Michael - In: Journal of financial markets 46 (2019), pp. 1-26
Persistent link: https://www.econbiz.de/10012317888
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The effect of ambiguity on price formation and trading behavior in financial markets
Li, Wenhui; Ockenfels, Peter; Wilde, Christian - 2021
various market outcomes (the price level, volatility, trading activity, market liquidity, and the degree of speculative …
Persistent link: https://www.econbiz.de/10012663127
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Volatility discovery across stock limit order book and options markets
Wang, Qin - In: The journal of futures markets 34 (2014) 10, pp. 934-956
Persistent link: https://www.econbiz.de/10010508688
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Securities transaction tax-case study of India
Malik, Neha - 2014
attempts to quantify the impact of STT imposition and subsequent revisions on volatility and trading volume during Oct 2003 …-July 2013. Empirical results show a mixed response of volatility and volume to changes in STT. Even though STT has …
Persistent link: https://www.econbiz.de/10010354157
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Volatility Discovery Across Stock Limit Order Book and Options Markets
Wang, Qin Emma - 2013
Foucault (1999) provides a theoretical basis for how stock price volatility influences the aggressiveness of limit … order traders. I investigate volatility discovery across stock limit order book and options markets using a broad panel of … the stock limit order book and option volatility trading Granger-cause each other. Further, I find that the aggressiveness …
Persistent link: https://www.econbiz.de/10013076258
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Fast and slow informed trading
Roşu, Ioanid - In: Journal of financial markets 43 (2019), pp. 1-30
Persistent link: https://www.econbiz.de/10012316293
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Liquidity fluctuations and the latent dynamics of price impact
Mertens, Luca Philippe; Ciacci, Alberto; Lillo, Fabrizio; … - In: Quantitative finance 22 (2022) 1, pp. 149-169
Persistent link: https://www.econbiz.de/10012872529
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Order flow volatility and equity costs of capital
Chordia, Tarun; Hu, Jianfeng; Subrahmanyam, Avanidhar; … - In: Management science : journal of the Institute for … 65 (2019) 4, pp. 1520-1551
Persistent link: https://www.econbiz.de/10012022640