When is inter-transaction time informative?
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Citations
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Cited by:
- Frijns, Bart & Schotman, Peter, 2009.
"Price discovery in tick time,"
Journal of Empirical Finance, Elsevier, vol. 16(5), pages 759-776, December.
- Schotman, Peter C & Frijns, Bart, 2004. "Price Discovery in Tick Time," CEPR Discussion Papers 4456, C.E.P.R. Discussion Papers.
- Edoardo Rainone, 2015. "Testing information diffusion in the decentralized unsecured market for euro funds," Temi di discussione (Economic working papers) 1022, Bank of Italy, Economic Research and International Relations Area.
- Chung, Kee H. & Park, Seongkyu “Gilbert” & Ryu, Doojin, 2016. "Trade duration, informed trading, and option moneyness," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 395-411.
- Grammig, Joachim & Theissen, Erik & Wuensche, Oliver, 2007.
"Time and price impact of a trade: A structural approach,"
CFR Working Papers
07-12, University of Cologne, Centre for Financial Research (CFR).
- Grammig, Joachim G. & Theissen, Erik & Wünsche, Oliver, 2011. "Time and the price impact of a trade: A structural approach," CFS Working Paper Series 2011/08, Center for Financial Studies (CFS).
- Li, Zhicheng & Chen, Xinyun & Xing, Haipeng, 2023. "A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market," Economic Modelling, Elsevier, vol. 118(C).
- Giambona, Erasmo & Golec, Joseph, 2010. "Strategic trading in the wrong direction by a large institutional insider," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 1-22, January.
- Doojin Ryu, 2017. "Comprehensive market microstructure model: considering the inventory holding costs," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 18(2), pages 183-201, March.
- Rainone, Edoardo, 2020. "The network nature of over-the-counter interest rates," Journal of Financial Markets, Elsevier, vol. 47(C).
- Chen, Tao & Li, Jie & Cai, Jun, 2008. "Information content of inter-trade time on the Chinese market," Emerging Markets Review, Elsevier, vol. 9(3), pages 174-193, September.
- Zhicheng Li & Haipeng Xing & Xinyun Chen, 2019. "A multifactor regime-switching model for inter-trade durations in the limit order market," Papers 1912.00764, arXiv.org.
- Jahanshahloo, Hossein & Spokeviciute, Laima, 2021. "Time weighted price contribution," Finance Research Letters, Elsevier, vol. 43(C).
- Doojin Ryu, 2015. "Information content of inter-transaction time: A structural approach," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 16(4), pages 697-711, August.
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