Financial Market Liquidity: Who Is Acting Strategically?
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More about this item
Keywords
High Frequency trading; strategic liquidity trading; market efficiency; mixture of distribution hypothesis; information-based trading; order splitting; Markov regime-switching stochastic volatility model.;All these keywords.
JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2015-12-08 (Market Microstructure)
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