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Citations for "An ordered probit analysis of transaction stock prices"

by Hausman, Jerry A. & Lo, Andrew W. & MacKinlay, Archie Craig, 1955-

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  1. Richard K. Lyons., 1995. "Foreign Exchange Volume: Sound and Fury Signifying Nothing?," Research Program in Finance Working Papers, University of California at Berkeley RPF-243, University of California at Berkeley.
  2. Kenneth A. Froot & Tarun Ramadorai, 2001. "The Information Content of International Portfolio Flows," NBER Working Papers 8472, National Bureau of Economic Research, Inc.
  3. Jeffrey R. Russell & Robert F. Engle, 1998. "Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model," CRSP working papers 470, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  4. Rama Cont & Jean-Philippe Bouchaud, 1997. "Herd behavior and aggregate fluctuations in financial markets," Papers cond-mat/9712318, arXiv.org, revised Jan 1998.
  5. Hong, Harrison G & Rady, Sven, 2000. "Strategic Trading And Learning About Liquidity," CEPR Discussion Papers, C.E.P.R. Discussion Papers 2416, C.E.P.R. Discussion Papers.
  6. Simon H. Kwan & Mark J. Flannery & M. Nimalendran, 1999. "Market evidence on the opaqueness of banking firms' assets," Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco 99-11, Federal Reserve Bank of San Francisco.
  7. Carmen Fernandez & M. F. J. Steel, 2004. "On the dangers of modelling through continuous distributions: A Bayesian perspective," ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh 22, Edinburgh School of Economics, University of Edinburgh.
  8. Dimitri Vayanos, 1999. "Strategic trading and welfare in a dynamic market," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 449, London School of Economics and Political Science, LSE Library.
  9. Degryse, Hans, 1999. "The total cost of trading Belgian shares: Brussels versus London," Journal of Banking & Finance, Elsevier, Elsevier, vol. 23(9), pages 1331-1355, September.
  10. Han N. Ozsoylev & Shino Takayama, 2005. "Price, Trade Size, and Information Revelation in Multi-Period Securities Markets," Economics Series Working Papers 2005-FE-10, University of Oxford, Department of Economics.
  11. Lyons, Richard K., 1995. "Tests of microstructural hypotheses in the foreign exchange market," Journal of Financial Economics, Elsevier, Elsevier, vol. 39(2-3), pages 321-351.
  12. Dimitri Vayanos, 2001. "Strategic trading in a dynamic noisy market," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 447, London School of Economics and Political Science, LSE Library.
  13. Manfen Chen & Rohan Christie-David & William Moore, 2007. "Deregulation, news releases, and price discovery," Journal of Regulatory Economics, Springer, Springer, vol. 31(3), pages 289-312, June.
  14. Ferriani, Fabrizio, 2010. "Informed and uninformed traders at work: evidence from the French market," MPRA Paper 24487, University Library of Munich, Germany.
  15. James D. Hamilton & Oscar Jorda, . "A model for the federal funds rate target," Department of Economics, California Davis - Department of Economics 99-07, California Davis - Department of Economics.
  16. Rama CONT & Jean-Philippe BOUCHAUD, 1997. "Herd behavior and aggregate fluctuations in financial markets," Finance, EconWPA 9712008, EconWPA, revised 30 Dec 1997.
  17. Neil Doherty & Richard Phillips, 2002. "Keeping up with the Joneses: Changing Rating Standards and the Buildup of Capital by U.S. Property-Liability Insurers," Journal of Financial Services Research, Springer, Springer, vol. 21(1), pages 55-78, February.
  18. 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, European Financial Management Association, vol. 15(1), pages 112-144.
  19. Degryse, H.A. & Jong, F.C.J.M. de & Ravenswaaij, M. van & Wuyts, G., 2002. "Aggressive Orders and the Resiliency of a Limit Order Market," Discussion Paper, Tilburg University, Center for Economic Research 2002-80, Tilburg University, Center for Economic Research.
  20. Winfried Pohlmeier & Roman Liesenfeld, 2003. "A Dynamic Integer Count Data Model for Financial Transaction Prices," CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz 03-03, Center of Finance and Econometrics, University of Konstanz.
  21. A. Colin Cameron & Tong Li & Pravin K. Trivedi & David M. Zimmer, 2004. "Modelling the differences in counted outcomes using bivariate copula models with application to mismeasured counts," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 7(2), pages 566-584, December.
  22. Gyarmati, Ákos & Lublóy, Ágnes & Váradi, Kata, 2012. "The Budapest liquidity measure and the price impact function," MPRA Paper 40339, University Library of Munich, Germany.
  23. Bernhardt, Dan & Hughson, Eric, 1993. "Intraday Trade in Dealership Markets," Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences 852, California Institute of Technology, Division of the Humanities and Social Sciences.
  24. Jie-Haun Lee & Whei-May Fan, 2014. "Investors’ perception of corporate governance: a spillover effect of Taiwan corporate scandals," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 43(1), pages 97-119, July.
  25. Jong, F.C.J.M. de & Nijman, T.E. & Röell, A.A., 1995. "A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International," Open Access publications from Tilburg University urn:nbn:nl:ui:12-80491, Tilburg University.
  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, Elsevier, vol. 9(4), pages 335-357, November.
  27. Madhavan, Ananth, 2000. "Market microstructure: A survey," Journal of Financial Markets, Elsevier, Elsevier, vol. 3(3), pages 205-258, August.
  28. 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, American Finance Association, vol. 50(5), pages 1655-89, December.
  29. William H. Greene & David A. Hensher, 2008. "Modeling Ordered Choices: A Primer and Recent Developments," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics 08-26, New York University, Leonard N. Stern School of Business, Department of Economics.
  30. David F. Babbel & Craig B. Merrill & Mark F. Meyer & Meiring de Villiers, 2001. "The Effect of Transaction Size on Off-the-Run Treasury Prices," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania 01-03, Wharton School Center for Financial Institutions, University of Pennsylvania.
  31. Michael Dueker, 1998. "Conditional heteroskedasticity in qualitative response models of time series: a Gibbs sampling approach to the bank prime rate," Working Papers, Federal Reserve Bank of St. Louis 1998-011, Federal Reserve Bank of St. Louis.
  32. Roman Liesenfeld & Ingmar Nolte & Winfried Pohlmeier, 2006. "Modelling financial transaction price movements: a dynamic integer count data model," Empirical Economics, Springer, Springer, vol. 30(4), pages 795-825, January.
  33. Bertsimas, Dimitris & Lo, Andrew W., 1998. "Optimal control of execution costs," Journal of Financial Markets, Elsevier, Elsevier, vol. 1(1), pages 1-50, April.
  34. Santos, Carlos, 2011. "The euro sovereign debt crisis, determinants of default probabilities and implied ratings in the CDS market: an econometric analysis," MPRA Paper 31341, University Library of Munich, Germany.
  35. Min-Hsien Chiang & Cheng-Hsiang Wang, 2004. "Intradaily relationship between information revelation and trading duration under market trends: the evidence of MSCI Taiwan stock index futures," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 11(8), pages 495-501.
  36. Jung, Robert & Kukuk, Martin & Liesenfeld, Roman, 2005. "Time Series of Count Data : Modelling and Estimation," Economics Working Papers 2005,08, Christian-Albrechts-University of Kiel, Department of Economics.
  37. Hilmer, Michael J., 1998. "Post-secondary fees and the decision to attend a university or a community college," Journal of Public Economics, Elsevier, Elsevier, vol. 67(3), pages 329-348, March.
  38. Kentaro Iwatsubo & Yoshihiro Kitamura, 2009. "Intraday evidence of the informational efficiency of the yen/dollar exchange rate," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 19(14), pages 1103-1115.
  39. Alfonso Dufour & Robert F Engle, 2000. "The ACD Model: Predictability of the Time Between Concecutive Trades," ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University icma-dp2000-05, Henley Business School, Reading University.
  40. Gerhard, Frank & Hautsch, Nikolaus, 2002. "Volatility estimation on the basis of price intensities," Journal of Empirical Finance, Elsevier, Elsevier, vol. 9(1), pages 57-89, January.
  41. Robert F. Engle & Jeffrey R. Russell, 1994. "Forecasting Transaction Rates: The Autoregressive Conditional Duration Model," NBER Working Papers 4966, National Bureau of Economic Research, Inc.
  42. repec:hal:wpaper:hal-00684716 is not listed on IDEAS
  43. Ferland, Rene & Lalancette, Simon, 2006. "Dynamics of realized volatilities and correlations: An empirical study," Journal of Banking & Finance, Elsevier, Elsevier, vol. 30(7), pages 2109-2130, July.
  44. Ranaldo, Angelo, 2004. "Order aggressiveness in limit order book markets," Journal of Financial Markets, Elsevier, Elsevier, vol. 7(1), pages 53-74, January.
  45. Ban Zheng & Eric Moulines & Frédéric Abergel, 2013. "Price jump prediction in a limit order book," Post-Print hal-00684716, HAL.
  46. Frederick C. Scherr & Timothy F. Sugrue & Janice B. Ward, 1993. "Financing the Small Firm Start-Up: Determinants of Debt Use," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, Pepperdine University, Graziadio School of Business and Management, vol. 3(1), pages 17-36 , Fall.
  47. Lublóy, Ágnes & Gyarmati, Ákos & Váradi, Kata, 2012. "Virtuális árhatás a Budapesti Értéktőzsdén
    [Virtual price effects on the Budapest stock exchange]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(5), pages 508-539.
  48. Lang, Larry H. P. & Lee, Yi Tsung, 1999. "Performance of various transaction frequencies under call markets: The case of Taiwan," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 7(1), pages 23-39, February.
  49. Ielpo, Florian & Guégan, Dominique, 2006. "An econometric specification of monetary policy dark art," MPRA Paper 1004, University Library of Munich, Germany, revised 07 Oct 2006.
  50. Alexander, Gordon J. & Peterson, Mark A., 2007. "An analysis of trade-size clustering and its relation to stealth trading," Journal of Financial Economics, Elsevier, Elsevier, vol. 84(2), pages 435-471, May.
  51. Ahn, Hee-Joon & Cai, Jun & Hamao, Yasushi & Ho, Richard Y.K., 2005. "Adverse selection, brokerage coverage, and trading activity on the Tokyo Stock Exchange," Journal of Banking & Finance, Elsevier, Elsevier, vol. 29(6), pages 1483-1508, June.
  52. Selva Demiralp & Oscar Jorda, . "The Pavlovian Response of Term Rates to Fed Announcements," Department of Economics, California Davis - Department of Economics 99-06, California Davis - Department of Economics.
  53. Michael Dueker & Daniel L. Thornton, 1994. "Asymmetry in the prime rate and firms' preference for internal finance," Working Papers, Federal Reserve Bank of St. Louis 1994-017, Federal Reserve Bank of St. Louis.
  54. Cheung, S., 1996. "Provincial Credit Rating in Canada: An Ordered Probit Analysis," Working Papers, Bank of Canada 96-6, Bank of Canada.
  55. J. Doyne Farmer, 2002. "Market force, ecology and evolution," Industrial and Corporate Change, Oxford University Press, vol. 11(5), pages 895-953, November.
  56. Neil Shephard & Tina Hviid Rydberg, 1999. "Modelling trade-by-trade price movements of multiple assets using multivariate compount Poisson processes," Economics Series Working Papers 1999-W23, University of Oxford, Department of Economics.
  57. Alessandro Beber & Cecilia Caglio, 2005. "Order Submission Strategies and Information: Empirical Evidence from the NYSE," FAME Research Paper Series, International Center for Financial Asset Management and Engineering rp146, International Center for Financial Asset Management and Engineering.
  58. González, M. & Minguez, R., 2005. "The Method Of Simulated Maximum Likelihood For The Estimaton Of Dynamic Ordered Probit: An Application To Country-Risk For Non-Developed Countries," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, Euro-American Association of Economic Development, vol. 2(3), pages 99-133.
  59. Bartley R. Danielsen & David M. Harrison, 2000. "The Impact of Potential Private Information on REIT Liquidity," Journal of Real Estate Research, American Real Estate Society, American Real Estate Society, vol. 19(1), pages 49-71.
  60. Andrew W. Lo & A. Craig MacKinlay & June Zhang, . "Econometric Models of Limit-Order Executions," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 12-99, Wharton School Rodney L. White Center for Financial Research.
  61. Engle, Robert F. & Patton, Andrew J., 2004. "Impacts of trades in an error-correction model of quote prices," Journal of Financial Markets, Elsevier, Elsevier, vol. 7(1), pages 1-25, January.
  62. Zhiwu Chen & Werner Stanzl & Masahiro Watanabe, 2002. "Price Impact Costs and the Limit of Arbitrage," Yale School of Management Working Papers, Yale School of Management ysm251, Yale School of Management, revised 08 Jun 2006.
  63. Jong, F.C.J.M. de & Nijman, T.E. & Röell, A.A., 1996. "Price effects of trading and components of the bid-ask spread on the Paris Bourse," Open Access publications from Tilburg University urn:nbn:nl:ui:12-72127, Tilburg University.
  64. Rangvid, Jesper & Schmeling, Maik & Schrimpf, Andreas, 2009. "Higher-order beliefs among professional stock market forecasters: some first empirical tests," ZEW Discussion Papers 09-042, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  65. J. Doyne Farmer & Paolo Patelli & Ilija I. Zovko, 2003. "The Predictive Power of Zero Intelligence in Financial Markets," Papers cond-mat/0309233, arXiv.org, revised Feb 2004.
  66. Ben Sita, Bernard, 2010. "Autocorrelation of the trade process: Evidence from the Helsinki Stock Exchange," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 50(4), pages 538-547, November.
  67. Nomikos, Nikos K. & Doctor, Kaizad, 2013. "Economic significance of market timing rules in the Forward Freight Agreement markets," Transportation Research Part E: Logistics and Transportation Review, Elsevier, Elsevier, vol. 52(C), pages 77-93.
  68. Gur Huberman & Werner Stanzl, 2000. "Optimal Liquidity Trading," Yale School of Management Working Papers, Yale School of Management ysm165, Yale School of Management, revised 01 Aug 2001.
  69. Farmer, J. Doyne & Joshi, Shareen, 2002. "The price dynamics of common trading strategies," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 49(2), pages 149-171, October.
  70. Sarigul, Sercan & Rui, Huaxia, 2014. "Nowcasting Obesity in the U.S. Using Google Search Volume Data," 2014 AAEA/EAAE/CAES Joint Symposium: Social Networks, Social Media and the Economics of Food, May 29-30, 2014, Montreal, Canada, Agricultural and Applied Economics Association;Canadian Agricultural Ec 166113, Agricultural and Applied Economics Association;Canadian Agricultural Economics Society;European Association of Agricultural Economists.
  71. Marcus G. Daniels & J. Doyne Farmer & Laszlo Gillemot & Giulia Iori & Eric Smith, 2001. "A quantitative model of trading and price formation in financial markets," Papers cond-mat/0112422, arXiv.org, revised Dec 2002.
  72. Hasbrouck, Joel, 1996. "Order characteristics and stock price evolution An application to program trading," Journal of Financial Economics, Elsevier, Elsevier, vol. 41(1), pages 129-149, May.
  73. Valeri Voev, 2006. "A Trade-by-Trade Surprise Measure and Its Relation to Observed Spreadson the NYSE," CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz 06-03, Center of Finance and Econometrics, University of Konstanz.
  74. Brown, Gregory W. & Hartzell, Jay C., 2001. "Market reaction to public information: The atypical case of the Boston Celtics," Journal of Financial Economics, Elsevier, Elsevier, vol. 60(2-3), pages 333-370, May.
  75. Eric Ghysels & Joanna Jasiak, 1995. "Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects," CIRANO Working Papers, CIRANO 95s-31, CIRANO.
  76. Hsieh, Ping-Hung & Kim, Yong H. & Yang, J. Jimmy, 2009. "The magnet effect of price limits: A logit approach," Journal of Empirical Finance, Elsevier, Elsevier, vol. 16(5), pages 830-837, December.
  77. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2006. "Estimating Liquidity Using Information on the Multivariate Trading Process," CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz 06-04, Center of Finance and Econometrics, University of Konstanz.
  78. Bollerslev, Tim & Domowitz, Ian & Wang, Jianxin, 1997. "Order flow and the bid-ask spread: An empirical probability model of screen-based trading," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 21(8-9), pages 1471-1491, June.
  79. Biais, Bruno & Glosten, Larry & Spatt, Chester, 2005. "Market microstructure: A survey of microfoundations, empirical results, and policy implications," Journal of Financial Markets, Elsevier, Elsevier, vol. 8(2), pages 217-264, May.
  80. Eric GHYSELS & Christian GOURIÉROUX & Joann JASIAK, 2000. "Causality between Returns and Traded Volumes," Annales d'Economie et de Statistique, ENSAE, issue 60, pages 189-206.
  81. Alfonso Dufour & Robert F. Engle, 2000. "Time and the Price Impact of a Trade," Journal of Finance, American Finance Association, American Finance Association, vol. 55(6), pages 2467-2498, December.
  82. Christian Pierdzioch, 2000. "The Effectiveness of the FX Market Interventions of the Bundesbank During the Louvre Period: An Options-Based Analysis," Kiel Working Papers 971, Kiel Institute for the World Economy.
  83. Griffiths, Mark D. & Smith, Brian F. & Turnbull, D. Alasdair S. & White, Robert W., 2000. "The costs and determinants of order aggressiveness," Journal of Financial Economics, Elsevier, Elsevier, vol. 56(1), pages 65-88, April.
  84. Nikolaus Hautsch & Winfried Pohlmeier, 2001. "Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities," CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz 01-05, Center of Finance and Econometrics, University of Konstanz.
  85. Jung, Robert C. & Kukuk, Martin & Liesenfeld, Roman, 2006. "Time series of count data: modeling, estimation and diagnostics," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 51(4), pages 2350-2364, December.
  86. Bali, Rakesh & Hite, Gailen L., 1998. "Ex dividend day stock price behavior: discreteness or tax-induced clienteles?," Journal of Financial Economics, Elsevier, Elsevier, vol. 47(2), pages 127-159, February.
  87. Amilon, Henrik, 2003. "GARCH estimation and discrete stock prices: an application to low-priced Australian stocks," Economics Letters, Elsevier, Elsevier, vol. 81(2), pages 215-222, November.
  88. Richards, Timothy J. & Tiwari, Ashutosh, 2014. "Social Networks and Restaurant Choice," 2014 AAEA/EAAE/CAES Joint Symposium: Social Networks, Social Media and the Economics of Food, May 29-30, 2014, Montreal, Canada, Agricultural and Applied Economics Association;Canadian Agricultural Ec 166112, Agricultural and Applied Economics Association;Canadian Agricultural Economics Society;European Association of Agricultural Economists.
  89. Battalio, Robert & Jennings, Robert & Selway, Jamie, 2001. "The potential for clientele pricing when making markets in financial securities," Journal of Financial Markets, Elsevier, Elsevier, vol. 4(1), pages 85-112, January.
  90. Chen, Tao & Li, Jie & Cai, Jun, 2008. "Information content of inter-trade time on the Chinese market," Emerging Markets Review, Elsevier, Elsevier, vol. 9(3), pages 174-193, September.
  91. Jari RitsilAa & Mika Haapanen, 2003. "Where do the highly educated migrate? Micro-level evidence from finland," International Review of Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 17(4), pages 437-448.
  92. Grammig, Joachim & Kehrle, Kerstin, 2008. "A new marked point process model for the federal funds rate target: Methodology and forecast evaluation," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 32(7), pages 2370-2396, July.
  93. Konstantin Tyurin, 2004. "High-Frequency Principal Components and Evolution of Liquidity in a Limit Order Market," Econometric Society 2004 North American Summer Meetings 579, Econometric Society.
  94. Ahn, Hee-Joon & Cai, Jun & Hamao, Yasushi & Ho, Richard Y. K., 2002. "The components of the bid-ask spread in a limit-order market: evidence from the Tokyo Stock Exchange," Journal of Empirical Finance, Elsevier, Elsevier, vol. 9(4), pages 399-430, November.
  95. Jose Montalvo, 2003. "Liquidity and market makers: a pseudo-experimental analysis with ultrahigh frequency data," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 9(4), pages 358-378.
  96. Werner Stanzl & Gur Huberman, 2000. "Arbitrage-Free Price-Update and Price-Impact Functions," Yale School of Management Working Papers, Yale School of Management ysm164, Yale School of Management, revised 01 Jan 2001.
  97. Yue Fang, 2000. "When Should Time be Continuous? Volatility Modeling and Estimation of High-Frequency Data," Econometric Society World Congress 2000 Contributed Papers 0843, Econometric Society.
  98. Hilmer, Michael J., 2001. "Redistributive fee increases, net attendance costs, and the distribution of students at the public university," Economics of Education Review, Elsevier, Elsevier, vol. 20(6), pages 551-562, December.
  99. Mark E. Schweitzer & Eric K. Severance-Lossin, 1996. "Rounding in earnings data," Working Paper 9612, Federal Reserve Bank of Cleveland.
  100. Huang, Roger D. & Ting, Christopher, 2008. "A functional approach to the price impact of stock trades and the implied true price," Journal of Empirical Finance, Elsevier, Elsevier, vol. 15(1), pages 1-16, January.
  101. Angelo Ranaldo, 2002. "Market Dynamics Around Public Information Arrivals," FAME Research Paper Series, International Center for Financial Asset Management and Engineering rp45, International Center for Financial Asset Management and Engineering.
  102. U. �etin & R. Jarrow & P. Protter & M. Warachka, 2006. "Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 19(2), pages 493-529.
  103. Bollerslev, Tim, 2001. "Financial econometrics: Past developments and future challenges," Journal of Econometrics, Elsevier, Elsevier, vol. 100(1), pages 41-51, January.
  104. Ronen, Tavy & Weaver, Daniel G., 2001. "'Teenies' anyone?," Journal of Financial Markets, Elsevier, Elsevier, vol. 4(3), pages 231-260, June.
  105. 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 - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  106. Chan, Yue-Cheong, 2000. "The price impact of trading on the stock exchange of Hong Kong," Journal of Financial Markets, Elsevier, Elsevier, vol. 3(1), pages 1-16, February.
  107. Joel Hasbrouck, 1998. "Security Bid/Ask Dynamics with Discreteness and Clustering: Simple Strategies for Modeling and Estimation," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- 98-042, New York University, Leonard N. Stern School of Business-.
  108. Georgakopoulos, Nicholas L., 1996. "Why should disclosure rules subsidize informed traders?," International Review of Law and Economics, Elsevier, Elsevier, vol. 16(4), pages 417-431, December.
  109. Ban Zheng & Eric Moulines & Fr\'ed\'eric Abergel, 2012. "Price Jump Prediction in Limit Order Book," Papers 1204.1381, arXiv.org.
  110. M. A. Martinez & M. Tapia & J. Yzaguirre, 2005. "Information transmission around block trades on the Spanish stock exchange," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 15(3), pages 173-186.
  111. Bollerslev, Tim & Zhang, Benjamin Y. B., 2003. "Measuring and modeling systematic risk in factor pricing models using high-frequency data," Journal of Empirical Finance, Elsevier, Elsevier, vol. 10(5), pages 533-558, December.
  112. Dridi, Ramdan & Germain, Laurent, 2004. "Bullish/Bearish Strategies of Trading: A Nonlinear Equilibrium," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 39(04), pages 873-886, December.