Market Microstructure Invariance: A Dynamic Equilibrium Model
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References listed on IDEAS
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- Albert S Kyle & Anna A Obizhaeva, 2023. "Large Bets and Stock Market Crashes," Review of Finance, European Finance Association, vol. 27(6), pages 2163-2203.
- Ai Jun Hou & Lars L. Nordén & Caihong Xu, 2024. "Futures trading costs and market microstructure invariance: Identifying bet activity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(6), pages 901-922, June.
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More about this item
Keywords
Market microstructure; invariance; liquidity; bid-ask spread; market impact; transaction costs; market efficiency; efficient markets hypothesis; pricing accuracy; resiliency; order size.;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2020-09-07 (Market Microstructure)
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