Liquidity and Market Microstructure Noise: Evidence from the Pekao Data
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- Katarzyna Bień-Barkowska, 2014. "“Every move you make, every step you take, I’ll be watching you” – the quest for hidden orders in the interbank FX spot market," Bank i Kredyt, Narodowy Bank Polski, vol. 45(3), pages 197-224.
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Keywordsmarket microstructure; volatility; realized variance; liquidity; stock market; trading volume; high frequency data;
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