Does Order Flow Commonality Extend Across Trade Sizes and Securities?
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- Corwin, Shane A. & Lipson, Marc L., 2011. "Order characteristics and the sources of commonality in prices and liquidity," Journal of Financial Markets, Elsevier, vol. 14(1), pages 47-81, February.
- A. Can Inci & Biao Lu & H. Nejat Seyhun, 2010. "Intraday Behavior of Stock Prices and Trades around Insider Trading," Financial Management, Financial Management Association International, vol. 39(1), pages 323-363, March.
- repec:eee:ecofin:v:42:y:2017:i:c:p:38-52 is not listed on IDEAS
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