Consistency between Predicted and Actual Bid-Ask Quote-Revisions
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Cited by:
- Roberto Pascual & David Veredas, 2010.
"Does the Open Limit Order Book Matter in Explaining Informational Volatility?,"
Journal of Financial Econometrics, Oxford University Press, vol. 8(1), pages 57-87, Winter.
- Roberto Pascual & David Veredas, 2009. "Does the open limit order book matter in explaining informational volatility?," ULB Institutional Repository 2013/183777, ULB -- Universite Libre de Bruxelles.
- 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 EconomÃa.
- Chen, Yu-Lun & Gau, Yin-Feng, 2014. "Asymmetric responses of ask and bid quotes to information in the foreign exchange market," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 194-204.
- Frijns, Bart & Schotman, Peter C., 2006.
"Nonlinear dynamics in Nasdaq dealer quotes,"
Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2246-2266, December.
- Frijns, B.P.M. & Schotman, P.C., 2005. "Nonlinear dynamics in Nasdaq dealer quotes," Research Memorandum 059, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Meihui Guo & Yi-Ting Guo & Chi-Jeng Wang & Liang-Ching Lin, 2015. "Assessing influential trade effects via high-frequency market reactions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(7), pages 1458-1471, July.
- Engle, Robert F. & Patton, Andrew J., 2004.
"Impacts of trades in an error-correction model of quote prices,"
Journal of Financial Markets, Elsevier, vol. 7(1), pages 1-25, January.
- Engle, Robert F & Patton, Andrew J, 2000. "Impacts of Trades in an Error-Correction Model of Quote Prices," University of California at San Diego, Economics Working Paper Series qt6dm6093f, Department of Economics, UC San Diego.
- Mircea BAHNA & Cosmin-Octavian CEPOI & Bogdan Andrei DUMITRESCU & Virgil DAMIAN, 2018. "Estimating the Price Impact of Market Orders on the Bucharest Stock Exchange," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 120-133, December.
- Alex Frino & David R. Gallagher, 2002. "Is Index Performance Achievable? An Analysis of Australian Equity Index Funds," Abacus, Accounting Foundation, University of Sydney, vol. 38(2), pages 200-214, June.
- Porter, David C. & Thatcher, John G., 1998. "Fragmentation, competition, and limit orders: New evidence from interday spreads," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(1), pages 111-128.
- Gunther Wuyts, 2012. "The impact of aggressive orders in an order-driven market: a simulation approach," The European Journal of Finance, Taylor & Francis Journals, vol. 18(10), pages 1015-1038, November.
- Laura T. Starks, 1994. "Discussion of “Market Microstructure: An Examination of the Effects on Intraday Event Studies†," Contemporary Accounting Research, John Wiley & Sons, vol. 10(2), pages 383-386, March.
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