Intraday Market Dynamics Around Public Information Arrivals
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- Geoff Willis, 2011.
"Why Money Trickles Up - Wealth & Income Distributions,"
1105.2122, arXiv.org, revised May 2011.
- Willis, Geoff, 2011. "Why money trickles up – wealth & income distributions," MPRA Paper 30851, University Library of Munich, Germany.
- Erenburg, Grigori & Lasser, Dennis, 2009. "Electronic limit order book and order submission choice around macroeconomic news," Review of Financial Economics, Elsevier, vol. 18(4), pages 172-182, October.
- Manuel Ammann & Stephan Markus Kessler, 2009. "Intraday characteristics of stock price crashes," Applied Financial Economics, Taylor & Francis Journals, vol. 19(15), pages 1239-1255.
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Keywordsreal-time information; firm-specific news; price discovery; liquidity provision; transaction-cost components; information asymmetry; limit-order book market; earnings announcements; price disruption; high-frequency data;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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