How trading activity scales with company size in the FTSE 100
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DOI: 10.1080/14697680400008619
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References listed on IDEAS
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Cited by:
- Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2013. "Limit order books," Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1709-1742, November.
- Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2010. "Limit Order Books," Papers 1012.0349, arXiv.org, revised Apr 2013.
- Matthieu Wyart & Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters & Michele Vettorazzo, 2006.
"Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets,"
Papers
physics/0603084, arXiv.org, revised Mar 2007.
- Matthieu Wyart & Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters & Michele Vettorazzo, 2006. "Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets," Science & Finance (CFM) working paper archive 500067, Science & Finance, Capital Fund Management.
- Qing-Qing Yang & Wai-Ki Ching & Jiawen Gu & Tak-Kuen Siu, 2020.
"Trading strategy with stochastic volatility in a limit order book market,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 277-301, June.
- Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu & Qing-Qing Yang, 2016. "Trading Strategy with Stochastic Volatility in a Limit Order Book Market," Papers 1602.00358, arXiv.org.
- Matthieu Wyart & Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters & Michele Vettorazzo, 2008. "Relation between bid-ask spread, impact and volatility in order-driven markets," Quantitative Finance, Taylor & Francis Journals, vol. 8(1), pages 41-57.
- Hsieh Fushing & Shu-Chun Chen & Chii-Ruey Hwang, 2012. "Discovering stock dynamics through multidimensional volatility phases," Quantitative Finance, Taylor & Francis Journals, vol. 12(2), pages 213-230, September.
- Stanislao Gualdi & Giulio Cimini & Kevin Primicerio & Riccardo Di Clemente & Damien Challet, 2016.
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- Stanislao Gualdi & Giulio Cimini & Kevin Primicerio & Riccardo Di Clemente & Damien Challet, 2016. "Statistically validated network of portfolio overlaps and systemic risk," Papers 1603.05914, arXiv.org, revised Sep 2016.
- Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo, 2008. "How markets slowly digest changes in supply and demand," Papers 0809.0822, arXiv.org.
- Rafael Velasco-Fuentes & Wing Lon Ng, 2011. "Nonlinearities in stochastic clocks: trades and volume as subordinators of electronic markets," Quantitative Finance, Taylor & Francis Journals, vol. 11(6), pages 863-881.
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