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Monitoring the foreign exchange rate benchmark fix
Jahanshahloo, Hossein; Cai, Charlie X. - In: The European journal of finance 25 (2019) 7, pp. 670-688
Persistent link: https://www.econbiz.de/10012207023
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Determinants of intraday market liquidity : an empirical analysis of Indian futures market using high frequency data
Shakeel, Moonis; Srivastava, Bhavana - In: International journal of management practice : IJMP 13 (2020) 2, pp. 178-199
Persistent link: https://www.econbiz.de/10012177952
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Market price of trading liquidity risk and market depth
Kijima, Masaaki; Ting, Christopher - In: International journal of theoretical and applied finance 22 (2019) 8, pp. 1-36
Persistent link: https://www.econbiz.de/10012183242
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High-frequency trading : insights from analytical models and simulated agent-based models
Kalimullina, Lina - 2019
Persistent link: https://www.econbiz.de/10012195053
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Risk and return in high-frequency trading
Baron, Matthew; Brogaard, Jonathan; Hagströmer, Björn; … - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 3, pp. 993-1024
Persistent link: https://www.econbiz.de/10012139381
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Three essays in financial economics
Jurkatis, Simon Willi - 2018
Persistent link: https://www.econbiz.de/10012169133
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Metaorder limit prices in evaluating expected market impact and assessing execution service quality
Bazylevyč, Viktor D.; Ihnatiuk, Vitalii - In: Investment management and financial innovations 16 (2019) 2, pp. 355-369
Persistent link: https://www.econbiz.de/10012122300
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OTC discount
Roure, Calebe de; Mönch, Emanuel; Pelizzon, Loriana; … - 2019
We study price dispersion and venue choice in the interdealer market for German sovereign bonds, where an exchange and over-the-counter segments coexist. We show that 85% of OTC traded prices are favorable with respect to exchange quotes, indicating the prevalence of an OTC discount. This...
Persistent link: https://www.econbiz.de/10012125222
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Price improvement and execution risk in lit and dark markets
Brolley, Michael - In: Management science : journal of the Institute for … 66 (2020) 2, pp. 863-886
Persistent link: https://www.econbiz.de/10012213246
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Financial transaction taxes and the informational efficiency of financial markets : a structural estimation
Cipriani, Marco; Guarino, Antonio; Uthemann, Andreas - 2019
Persistent link: https://www.econbiz.de/10012214039