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Trades, quotes, inventories, and information

Citations

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Cited by:

  1. Ivanov, Stoyu I., 2016. "Analysis of ETF bid-ask spread components," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 249-259.
  2. Paolo Pasquariello & Clara Vega, 2015. "Strategic Cross-Trading in the U.S. Stock Market," Review of Finance, European Finance Association, vol. 19(1), pages 229-282.
  3. Locke, Peter R. & Sarajoti, Pattarake, 2004. "Aggressive dealer pricing," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 559-573, September.
  4. Huang, Roger D. & Stoll, Hans R., 1996. "Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE," Journal of Financial Economics, Elsevier, vol. 41(3), pages 313-357, July.
  5. Yue Zhao & Difang Wan, 2018. "Institutional high frequency trading and price discovery: Evidence from an emerging commodity futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 243-270, February.
  6. Ozsoylev, Han N. & Takayama, Shino, 2010. "Price, trade size, and information revelation in multi-period securities markets," Journal of Financial Markets, Elsevier, vol. 13(1), pages 49-76, February.
  7. Madhavan, Ananth, 2000. "Market microstructure: A survey," Journal of Financial Markets, Elsevier, vol. 3(3), pages 205-258, August.
  8. Stoyu Ivanov, 2017. "Comparative Analysis of ETF and Common Stock Intraday Bid-Ask Spread Behavior," Economics Bulletin, AccessEcon, vol. 37(2), pages 723-732.
  9. Bruno Biais & Christophe Bisiere & Chester Spatt, 2002. "Imperfect Competition in Financial Markets: ISLAND vs. NASDAQ," GSIA Working Papers 2003-E41, Carnegie Mellon University, Tepper School of Business.
  10. Richard K. Lyons, 1996. "Foreign Exchange Volume: Sound and Fury Signifying Nothing?," NBER Chapters, in: The Microstructure of Foreign Exchange Markets, pages 183-208, National Bureau of Economic Research, Inc.
  11. Hausman, Jerry A. & Lo, Andrew W. & MacKinlay, A. Craig, 1992. "An ordered probit analysis of transaction stock prices," Journal of Financial Economics, Elsevier, vol. 31(3), pages 319-379, June.
  12. LaPlante, Michele & Muscarella, Chris J., 1997. "Do institutions receive comparable execution in the NYSE and Nasdaq markets? A transaction study of block trades," Journal of Financial Economics, Elsevier, vol. 45(1), pages 97-134, July.
  13. Takatoshi Ito & Richard K. Lyons & Michael T. Melvin, 1996. "Is There Private Information in the FX Market? The Tokyo Experiment," Working Papers _005, University of California at Berkeley, Haas School of Business.
  14. Robert F. Engle & Joe Lange, 1997. "Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market," NBER Working Papers 6129, National Bureau of Economic Research, Inc.
  15. Kempf, Alexander & Korn, Olaf, 1999. "Market depth and order size1," Journal of Financial Markets, Elsevier, vol. 2(1), pages 29-48, February.
  16. George Tannous & Juan Wang & Craig Wilson, 2013. "The Intraday Pattern of Information Asymmetry, Spread, and Depth: Evidence from the NYSE," International Review of Finance, International Review of Finance Ltd., vol. 13(2), pages 215-240, June.
  17. Henk Berkman & Carole Comerton‐Forde, 2011. "Market microstructure: A review from down under," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 51(1), pages 50-78, March.
  18. Ken B. Cyree & James T. Lindley & Drew B. Winters, 2007. "The Effect of Substitute Assets on Yields in Financial Markets," Financial Management, Financial Management Association International, vol. 36(1), pages 27-47, March.
  19. Pasquariello, Paolo, 2007. "Informative trading or just costly noise? An analysis of Central Bank interventions," Journal of Financial Markets, Elsevier, vol. 10(2), pages 107-143, May.
  20. Ivan Jericevich & Patrick Chang & Tim Gebbie, 2020. "Comparing the market microstructure between two South African exchanges," Papers 2011.04367, arXiv.org.
  21. Barakat, Ahmed & Chernobai, Anna & Wahrenburg, Mark, 2014. "Information asymmetry around operational risk announcements," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 152-179.
  22. Hasbrouck, Joel, 1996. "Order characteristics and stock price evolution An application to program trading," Journal of Financial Economics, Elsevier, vol. 41(1), pages 129-149, May.
  23. Baginski, Stephen P. & Demers, Elizabeth & Kausar, Asad & Yu, Yingri Julia, 2018. "Linguistic tone and the small trader," Accounting, Organizations and Society, Elsevier, vol. 68, pages 21-37.
  24. Lyons, Richard K., 1995. "Tests of microstructural hypotheses in the foreign exchange market," Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 321-351.
  25. Aitken, Michael & Frino, Alex, 1996. "The accuracy of the tick test: Evidence from the Australian stock exchange," Journal of Banking & Finance, Elsevier, vol. 20(10), pages 1715-1729, December.
  26. Brown, Philip & Thomson, Nathanial & Walsh, David, 1999. "Characteristics of the order flow through an electronic open limit order book," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(4), pages 335-357, November.
  27. Menyah, Kojo & Paudyal, Krishna, 2000. "The components of bid-ask spreads on the London Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 24(11), pages 1767-1785, November.
  28. Ardalan, Kavous, 1999. "The no-arbitrage condition and financial markets with transaction costs and heterogeneous information: The bid-ask spread," Global Finance Journal, Elsevier, vol. 10(1), pages 83-91.
  29. Easley, David & O'Hara, Maureen & Paperman, Joseph, 1998. "Financial analysts and information-based trade," Journal of Financial Markets, Elsevier, vol. 1(2), pages 175-201, August.
  30. Pei-Hwang Wei, 1992. "Intraday Variations In Trading Activity, Price Variability, And The Bid-Ask Spread," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 15(3), pages 265-276, September.
  31. Jungmu Kim & Yuen Jung Park, 2019. "Is Factor Investing Sustainable after Price Impact Costs? The Capacity of Factor Investing in Korea," Sustainability, MDPI, vol. 11(17), pages 1-21, September.
  32. Stephen A. Buser & G. Andrew Karolyi & Anthony B. Sanders, "undated". "Adjusted Forward Rates as Predictors of Future Spot Rates," Research in Financial Economics 9605, Ohio State University.
  33. Adrian, Tobias & Capponi, Agostino & Fleming, Michael & Vogt, Erik & Zhang, Hongzhong, 2020. "Intraday market making with overnight inventory costs," Journal of Financial Markets, Elsevier, vol. 50(C).
  34. Madhavan, Ananth & Sofianos, George, 1998. "An empirical analysis of NYSE specialist trading," Journal of Financial Economics, Elsevier, vol. 48(2), pages 189-210, May.
  35. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
  36. Biais, Bruno & Glosten, Larry & Spatt, Chester, 2005. "Market microstructure: A survey of microfoundations, empirical results, and policy implications," Journal of Financial Markets, Elsevier, vol. 8(2), pages 217-264, May.
  37. Chen, Crystal Xiaobei & Rhee, S. Ghon, 2010. "Short sales and speed of price adjustment: Evidence from the Hong Kong stock market," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 471-483, February.
  38. Dridi, Ramdan & Germain, Laurent, 2004. "Bullish/Bearish Strategies of Trading: A Nonlinear Equilibrium," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(4), pages 873-886, December.
  39. Yu Chuan Huang, 2004. "The components of bid‐ask spread and their determinants: TAIFEX versus SGX‐DT," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(9), pages 835-860, September.
  40. Jos, van Bommel, 2011. "Measuring price discovery: The variance ratio, the R2, and the weighted price contribution," Finance Research Letters, Elsevier, vol. 8(3), pages 112-119, September.
  41. Yi Cao & Jia Zhai, 2022. "Estimating price impact via deep reinforcement learning," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 3954-3970, October.
  42. Guillermo Llorente & Roni Michaely & Gideon Saar & Jiang Wang, 2002. "Dynamic Volume-Return Relation of Individual Stocks," The Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1005-1047.
  43. Wei‐Yu Kuo & Ching‐Ting Lin, 2018. "Trader types and fleeting orders: Evidence from Taiwan Futures Exchange," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(12), pages 1443-1469, December.
  44. N. Taylor & Y. Xu, 2017. "The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data," Quantitative Finance, Taylor & Francis Journals, vol. 17(7), pages 1021-1035, July.
  45. Chung, Kee H. & Chuwonganant, Chairat & Jiang, Jing, 2008. "The dynamics of quote adjustments," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2390-2400, November.
  46. Anna Obizhaeva, 2007. "Liquidity Estimates and Selection Bias," Working Papers w0225, New Economic School (NES).
  47. Koopman, S.J.M. & Lai, H.N., 1998. "Modelling bid-ask spreads in competitive dealership markets," Other publications TiSEM 7a193911-dbf2-4831-ac8d-9, Tilburg University, School of Economics and Management.
  48. Bao Doan & Duc Hong Vo, 2021. "Is there any information content of traded stocks in an emerging market? Evidence from Vietnam," International Economics, CEPII research center, issue 167, pages 78-87.
  49. Angelo Ranaldo, 2002. "Market Dynamics Around Public Information Arrivals," FAME Research Paper Series rp45, International Center for Financial Asset Management and Engineering.
  50. Jun (Tony) Ruan & Tongshu Ma, 2017. "Bid-Ask Spread, Quoted Depths, and Unexpected Duration Between Trades," Journal of Financial Services Research, Springer;Western Finance Association, vol. 51(3), pages 385-436, June.
  51. Neal, Robert & Wheatley, Simon M., 1998. "Adverse selection and bid-ask spreads: Evidence from closed-end funds," Journal of Financial Markets, Elsevier, vol. 1(1), pages 121-149, April.
  52. Ripamonti, Alexandre, 2020. "Financial institutions, asymmetric information and capital structure adjustments," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 75-83.
  53. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
  54. Medina, Vicente & Pardo, Ángel & Pascual, Roberto, 2014. "The timeline of trading frictions in the European carbon market," Energy Economics, Elsevier, vol. 42(C), pages 378-394.
  55. Hiroyuki Moriya, 2017. "Quantized price volatility model for transaction data," Evolutionary and Institutional Economics Review, Springer, vol. 14(2), pages 397-408, December.
  56. Ripamonti, Alexandre & Silva, Diego & Moreira Neto, Eurico, 2018. "Asset Pricing and Asymmetric Information," MPRA Paper 87403, University Library of Munich, Germany.
  57. Fantazzini, Dean, 2008. "Credit Risk Management," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 12(4), pages 84-137.
  58. Pascual, Roberto & Escribano, Álvaro & Tapia, Mikel, 1999. "How does liquidity behave? A multidimensional analysis of NYSE stocks," DEE - Working Papers. Business Economics. WB 6433, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  59. Li, Wei-Xuan & French, Joseph J. & Chen, Clara Chia-Sheng, 2017. "Informed trading in S&P index options? Evidence from the 2008 financial crisis," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 40-65.
  60. Acharya, Viral V. & Anshuman, V. Ravi & Kumar, K. Kiran, 2022. "Foreign Fund Flows and Equity Prices during the COVID-19 Pandemic: Evidence from India," ADBI Working Papers 1333, Asian Development Bank Institute.
  61. Matthew Dicks & Andrew Paskaramoorthy & Tim Gebbie, 2023. "Many learning agents interacting with an agent-based market model," Papers 2303.07393, arXiv.org, revised Nov 2023.
  62. Ranaldo, Angelo & Somogyi, Fabricius, 2021. "Asymmetric information risk in FX markets," Journal of Financial Economics, Elsevier, vol. 140(2), pages 391-411.
  63. Damian Eduardo Taranto & Giacomo Bormetti & Jean-Philippe Bouchaud & Fabrizio Lillo & Bence Toth, 2016. "Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact," Papers 1602.02735, arXiv.org.
  64. Tanggaard, Carsten, 2003. "Errors in Trade Classification: Consequences and Remedies," Finance Working Papers 03-6, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  65. Anderegg, Benjamin & Ulmann, Florian & Sornette, Didier, 2022. "The impact of option hedging on the spot market volatility," Journal of International Money and Finance, Elsevier, vol. 124(C).
  66. Kelly David L. & Steigerwald Douglas G, 2004. "Private Information and High-Frequency Stochastic Volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(1), pages 1-30, March.
  67. Chiraphol N. Chiyachantana & Christine X. Jiang & Nareerat Taechapiroontong & Robert A. Wood, 2004. "The Impact of Regulation Fair Disclosure on Information Asymmetry and Trading: An Intraday Analysis," The Financial Review, Eastern Finance Association, vol. 39(4), pages 549-577, November.
  68. Oehler, Andreas & Häcker, Mirko, 2003. "Kurseinfluss mittlerer und großer Transaktionen am deutschen Aktienmarkt," Discussion Papers 20, University of Bamberg, Chair of Finance.
  69. Martin Angerer & Georg Peter & Sebastian Stoeckl & Thomas Wachter & Matthias Bank & Marco Menichetti, 2018. "Bid-Ask Spread Patterns and the Optimal Timing for Discretionary Liquidity Traders on Xetra," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 70(3), pages 209-230, July.
  70. Doan, Bao & Vo, Duc Hong, 2021. "Is there any information content of traded stocks in an emerging market? Evidence from Vietnam," International Economics, Elsevier, vol. 167(C), pages 78-87.
  71. Laurini, Márcio Poletti & Furlani, Luiz Gustavo Cassilatti & Portugal, Marcelo Savino, 2008. "Empirical market microstructure: An analysis of the BRL/US$ exchange rate market," Emerging Markets Review, Elsevier, vol. 9(4), pages 247-265, December.
  72. Rafael Romeu, 2004. "A Puzzle of Microstructure Market Maker Models," IMF Working Papers 2004/006, International Monetary Fund.
  73. Blau, Benjamin M. & Van Ness, Bonnie F. & Van Ness, Robert A., 2009. "Information and trade sizes: The case of short sales," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(4), pages 1371-1388, November.
  74. Benos, Evangelos & Huang, Wenqian & Menkveld, Albert & Vasios, Michalis, 2019. "The cost of clearing fragmentation," Bank of England working papers 800, Bank of England, revised 22 Nov 2019.
  75. Zou, Liping & Rose, Lawrence C. & Pinfold, John F., 2006. "Intra-night trading behaviour of Australian treasury-bond futures overnight options," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 415-433.
  76. Chalmers, John M. R. & Kadlec, Gregory B., 1998. "An empirical examination of the amortized spread," Journal of Financial Economics, Elsevier, vol. 48(2), pages 159-188, May.
  77. Snell, Andy & Tonks, Ian, 1996. "Using time series methods to assess information and inventory effects in a dealer market in Il-liquid stocks," LSE Research Online Documents on Economics 119167, London School of Economics and Political Science, LSE Library.
  78. Philip, R., 2020. "Estimating permanent price impact via machine learning," Journal of Econometrics, Elsevier, vol. 215(2), pages 414-449.
  79. Onur, Esen & Roberts, John S. & Tuzun, Tugkan, 2023. "Trader positions and aggregate portfolio demand," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
  80. Dubofsky, David, 1997. "Limit orders and ex-dividend day return distributions," Journal of Empirical Finance, Elsevier, vol. 4(1), pages 47-65, January.
  81. French, Joseph J. & Taborda, Rodrigo, 2018. "Disentangling the relationship between liquidity and returns in Latin America," Global Finance Journal, Elsevier, vol. 36(C), pages 23-40.
  82. Chow, Edward H. & Lee, Jie-Haun & Shyy, Gang, 1996. "Trading mechanisms and trading preferences on a 24-hour futures market: A case study of the Floor/GLOBEX switch on MATIF," Journal of Banking & Finance, Elsevier, vol. 20(10), pages 1695-1713, December.
  83. Damian Eduardo Taranto & Giacomo Bormetti & Jean-Philippe Bouchaud & Fabrizio Lillo & Bence Toth, 2016. "Linear models for the impact of order flow on prices II. The Mixture Transition Distribution model," Papers 1604.07556, arXiv.org.
  84. Khoury, Nabil & Perrakis, Stylianos & Savor, Marko, 2011. "Competition, interlisting and market structure in options trading," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 104-117, January.
  85. Friederich, Sylvain & Payne, Richard, 2014. "Trading anonymity and order anticipation," Journal of Financial Markets, Elsevier, vol. 21(C), pages 1-24.
  86. Eleanor Xu, Xiaoqing & Chen, Peter & Wu, Chunchi, 2006. "Time and dynamic volume-volatility relation," Journal of Banking & Finance, Elsevier, vol. 30(5), pages 1535-1558, May.
  87. Charles Cao & Eric Ghysels & Frank Hatheway, 1998. "Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening," CIRANO Working Papers 98s-14, CIRANO.
  88. Rafael Romeu, 2003. "An Intraday Pricing Model of Foreign Exchange Markets," IMF Working Papers 2003/115, International Monetary Fund.
  89. Michael Frömmel & Eyup Kadioglu, 2023. "Impact of trading hours extensions on foreign exchange volatility: intraday evidence from the Moscow exchange," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-23, December.
  90. Doojin Ryu, 2013. "Spread and depth adjustment process: an analysis of high-quality microstructure data," Applied Economics Letters, Taylor & Francis Journals, vol. 20(16), pages 1506-1510, November.
  91. Timotheos Angelidis & Alexandros Benos, 2009. "The Components of the Bid‐Ask Spread: the Case of the Athens Stock Exchange," European Financial Management, European Financial Management Association, vol. 15(1), pages 112-144, January.
  92. Yang, J-H.S. & Satchell, S.E., 2003. "Endogenous Correlation," Cambridge Working Papers in Economics 0321, Faculty of Economics, University of Cambridge.
  93. Anna Obizhaeva, 2009. "Portfolio Transitions and Stock Price Dynamics," Working Papers w0224, Center for Economic and Financial Research (CEFIR).
  94. Li, Mingsheng & McCormick, Timothy & Zhao, Xin, 2005. "Order imbalance and liquidity supply: Evidence from the bubble burst of Nasdaq stocks," Journal of Empirical Finance, Elsevier, vol. 12(4), pages 533-555, September.
  95. Chris D'Souza, 2002. "A Market Microstructure Analysis of Foreign Exchange Intervention in Canada," Staff Working Papers 02-16, Bank of Canada.
  96. Gordon, Narelle & Watts, Edward & Wu, Qiongbing, 2014. "Information attributes, information asymmetry and industry sector returns," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 156-175.
  97. Shino Takayama & Han Ozsoylev, 2005. "A Dynamic Analysis of Bid-Ask Spreads with Multiple Trade Sizes," Finance 0509007, University Library of Munich, Germany.
  98. Ripamonti, Alexandre, 2019. "Capital Structure Adjustments and Asymmetric Information," MPRA Paper 96936, University Library of Munich, Germany.
  99. Paul A. Laux, 1993. "Trade Sizes And Theories Of The Bid-Ask Spread," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 16(3), pages 237-249, September.
  100. Odders-White, Elizabeth R., 2000. "On the occurrence and consequences of inaccurate trade classification," Journal of Financial Markets, Elsevier, vol. 3(3), pages 259-286, August.
  101. Joshua V. Rosenberg & Leah G. Traub, 2006. "Price discovery in the foreign currency futures and spot market," Staff Reports 262, Federal Reserve Bank of New York.
  102. deB. Harris, Frederick H. & McInish, Thomas H. & Chakravarty, Ranjan R., 1995. "Bids and asks in disequilibrium market microstructure: The case of IBM," Journal of Banking & Finance, Elsevier, vol. 19(2), pages 323-345, May.
  103. Escribano, Álvaro & Pascual, Roberto, 2000. "Dynamic asymmetries in bid-ask responses to innovations in the trading process," UC3M Working papers. Economics 7271, Universidad Carlos III de Madrid. Departamento de Economía.
  104. Biais, Bruno & Hillion, Pierre & Spatt, Chester, 1995. "An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse," Journal of Finance, American Finance Association, vol. 50(5), pages 1655-1689, December.
  105. Sung‐Hun Kim & Joseph P. Ogden, 1996. "Determinants of the components of bid‐ask spreads on stocks," European Financial Management, European Financial Management Association, vol. 2(1), pages 127-145, March.
  106. Zhang, Michael Yuanjie & Russell, Jeffrey R. & Tsay, Ruey S., 2008. "Determinants of bid and ask quotes and implications for the cost of trading," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 656-678, September.
  107. Chen, Tao & Li, Jie & Cai, Jun, 2008. "Information content of inter-trade time on the Chinese market," Emerging Markets Review, Elsevier, vol. 9(3), pages 174-193, September.
  108. Kaushik I. Amin & Charles M. C. Lee, 1997. "Option Trading, Price Discovery, and Earnings News Dissemination," Contemporary Accounting Research, John Wiley & Sons, vol. 14(2), pages 153-192, June.
  109. Ripamonti, Alexandre, 2016. "Corwin-Schultz bid-ask spread estimator in the Brazilian stock market," MPRA Paper 79459, University Library of Munich, Germany.
  110. Christopher L. Gilbert & Herbert A. Rijken, 2006. "How is Futures Trading Affected by the Move to a Computerized Trading System? Lessons from the LIFFE FTSE 100 Contract," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(7‐8), pages 1267-1297, September.
  111. Agostino Capponi & Jos'e E. Figueroa-L'opez & Chuyi Yu, 2021. "Market Making with Stochastic Liquidity Demand: Simultaneous Order Arrival and Price Change Forecasts," Papers 2101.03086, arXiv.org.
  112. Kathleen Weiss Hanley & Charles Lee & Paul Seguin, 1995. "The Marketing of Closed-End Fund IPOs," Center for Financial Institutions Working Papers 94-21, Wharton School Center for Financial Institutions, University of Pennsylvania.
  113. Young-Hye Cho & Robert F. Engle, 1999. "Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market," NBER Working Papers 7331, National Bureau of Economic Research, Inc.
  114. Osler, Carol L., 2005. "Stop-loss orders and price cascades in currency markets," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 219-241, March.
  115. Conrad, Jennifer & Wahal, Sunil, 2020. "The term structure of liquidity provision," Journal of Financial Economics, Elsevier, vol. 136(1), pages 239-259.
  116. Xinyue He & Teresa Serra & Philip Garcia, 2021. "Resilience in “Flash Events” in the Corn and Lean Hog Futures Markets," American Journal of Agricultural Economics, John Wiley & Sons, vol. 103(2), pages 743-764, March.
  117. Anna Obizhaeva, 2009. "Portfolio Transitions and Stock Price Dynamics," Working Papers w0224, New Economic School (NES).
  118. Edward I. Altman & Amar Gande & Anthony Saunders, 2010. "Bank Debt versus Bond Debt: Evidence from Secondary Market Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(4), pages 755-767, June.
  119. Brown, Stephen & Hillegeist, Stephen A. & Lo, Kin, 2004. "Conference calls and information asymmetry," Journal of Accounting and Economics, Elsevier, vol. 37(3), pages 343-366, September.
  120. Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo, 2008. "How markets slowly digest changes in supply and demand," Papers 0809.0822, arXiv.org.
  121. Fernandes, Marcelo & Barros, Carlos Felipe, 2014. "Market Depth at the BM&FBovespa," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 34(1), March.
  122. P. C. Venkatesh, 1992. "Empirical Evidence On The Impact Of The Bid-Ask Spread On The Characteristics Of Crsp Daily Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 15(2), pages 113-125, June.
  123. Kempf, Alexander & Korn, Olaf, 1998. "Market depth and order size: an analysis of permanent price effects of DAX futures' trades," ZEW Discussion Papers 98-10, ZEW - Leibniz Centre for European Economic Research.
  124. Chung, Kee H. & Li, Mingsheng & McInish, Thomas H., 2005. "Information-based trading, price impact of trades, and trade autocorrelation," Journal of Banking & Finance, Elsevier, vol. 29(7), pages 1645-1669, July.
  125. Li, Wei & Rhee, Ghon & Wang, Steven Shuye, 2017. "Differences in herding: Individual vs. institutional investors," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 174-185.
  126. Doojin Ryu & Jinyoung Yu, 2021. "Informed options trading around holidays," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 658-685, May.
  127. Goodhart, Charles A. E. & Payne, Richard G., 1996. "Microstructural dynamics in a foreign exchange electronic broking system," Journal of International Money and Finance, Elsevier, vol. 15(6), pages 829-852, December.
  128. Baig, Ahmed S. & Butt, Hassan Anjum & Haroon, Omair & Rizvi, Syed Aun R., 2021. "Deaths, panic, lockdowns and US equity markets: The case of COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 38(C).
  129. Davide Lauria & W. Brent Lindquist & Svetlozar T. Rachev & Yuan Hu, 2023. "Unifying Market Microstructure and Dynamic Asset Pricing," Papers 2304.02356, arXiv.org, revised Feb 2024.
  130. Engle, Robert F. & Lange, Joe, 2001. "Predicting VNET: A model of the dynamics of market depth," Journal of Financial Markets, Elsevier, vol. 4(2), pages 113-142, April.
  131. Berkman, Henk & Lee, John Byong Tek, 2002. "The effectiveness of price limits in an emerging market: Evidence from the Korean Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 10(5), pages 517-530, November.
  132. Chebbi, Kaouther & Ammer, Mohammed Abdullah & Hameed, Affan, 2021. "The COVID-19 pandemic and stock liquidity: Evidence from S&P 500," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 134-142.
  133. Ben Omrane, Walid & Welch, Robert, 2016. "Tick test accuracy in foreign exchange ECN markets," Research in International Business and Finance, Elsevier, vol. 37(C), pages 135-152.
  134. Stanley, H.E. & Gopikrishnan, P. & Plerou, V. & Amaral, L.A.N., 2000. "Quantifying fluctuations in economic systems by adapting methods of statistical physics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 339-361.
  135. Andy Snell & Ian Tonks, 1996. "Utilising Time Series Methods to Assess Information and Inventory Effects in a Dealer Market in Illiquid Stocks," FMG Discussion Papers dp242, Financial Markets Group.
  136. Snell, Andy & Tonks, Ian, 1998. "Testing for asymmetric information and inventory control effects in market maker behaviour on the London Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 5(1), pages 1-25, January.
  137. Lepone, Andrew & Wong, Jin Boon, 2017. "Pseudo market-makers, market quality and the minimum tick size," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 88-100.
  138. W. Yang, 1999. "The Demand for and Supply of Shares. An Empirical Study of the Limit Order Book on the ASX," Economics Discussion / Working Papers 99-03, The University of Western Australia, Department of Economics.
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