Limit order books and liquidity around scheduled and non-scheduled announcements: Empirical evidence from NASDAQ Nordic
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DOI: 10.1016/j.frl.2016.12.016
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Citations
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Cited by:
- Adamantios Ntakaris & Martin Magris & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis, 2017. "Benchmark Dataset for Mid-Price Forecasting of Limit Order Book Data with Machine Learning Methods," Papers 1705.03233, arXiv.org, revised Mar 2020.
- Nguyen, Dinh Trung & Pham, Thu Phuong & Tran, Ngoc Anh & Zurbruegg, Ralf, 2024. "The dynamic effects of debtor bankruptcy on unsecured creditors' stock liquidity," Journal of Financial Stability, Elsevier, vol. 74(C).
- Martin Magris & Jiyeong Kim & Esa Rasanen & Juho Kanniainen, 2017. "Long-range Auto-correlations in Limit Order Book Markets: Inter- and Cross-event Analysis," Papers 1711.03534, arXiv.org.
- Ymir Makinen & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis, 2018. "Forecasting of Jump Arrivals in Stock Prices: New Attention-based Network Architecture using Limit Order Book Data," Papers 1810.10845, arXiv.org.
- Feng, Wenjun & Wang, Yiming & Zhang, Zhengjun, 2018. "Informed trading in the Bitcoin market," Finance Research Letters, Elsevier, vol. 26(C), pages 63-70.
- Milla Siikanen & Kk{e}stutis Baltakys & Juho Kanniainen & Ravi Vatrapu & Raghava Mukkamala & Abid Hussain, 2017. "Facebook drives behavior of passive households in stock markets," Papers 1709.07300, arXiv.org, revised May 2018.
- Priyanka Naik & Y. V. Reddy, 2021. "Stock Market Liquidity: A Literature Review," SAGE Open, , vol. 11(1), pages 21582440209, January.
- Siikanen, Milla & Kanniainen, Juho & Luoma, Arto, 2017. "What drives the sensitivity of limit order books to company announcement arrivals?," Economics Letters, Elsevier, vol. 159(C), pages 65-68.
- Siikanen, Milla & Baltakys, Kęstutis & Kanniainen, Juho & Vatrapu, Ravi & Mukkamala, Raghava & Hussain, Abid, 2018. "Facebook drives behavior of passive households in stock markets," Finance Research Letters, Elsevier, vol. 27(C), pages 208-213.
- Juho Kanniainen & Ye Yue, 2019. "The Arrival of News and Return Jumps in Stock Markets: A Nonparametric Approach," Papers 1901.02691, arXiv.org.
- Dat Thanh Tran & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis, 2021. "Bilinear Input Normalization for Neural Networks in Financial Forecasting," Papers 2109.00983, arXiv.org.
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More about this item
Keywords
Limit order book; Liquidity; Company announcement; High-frequency data;All these keywords.
JEL classification:
- 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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