Clustering of intraday order-sizes by uninformed versus informed traders
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DOI: 10.1016/j.jbankfin.2014.01.026
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Citations
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Cited by:
- Dionne, Georges & Zhou, Xiaozhou, 2019. "Information Environments and High Price Impact Trades: Implication for Volatility and Price Efficiency," Working Papers 19-3, HEC Montreal, Canada Research Chair in Risk Management, revised 04 Nov 2019.
- Palao, Fernando & Pardo, Ángel, 2014. "What makes carbon traders cluster their orders?," Energy Economics, Elsevier, vol. 43(C), pages 158-165.
- 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.
- Dionne, Georges & Zhou, Xiaozhou, 2024. "High price impact trades identication and its implication for volatility and price efficiency," Working Papers 24-3, HEC Montreal, Canada Research Chair in Risk Management.
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More about this item
Keywords
Trading; Liquidity; Order size choice; Equities;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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