Microstructure Invariance in U.S. Stock Market Trades
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DOI: 10.17016/FEDS.2016.034
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- Albert S. Kyle & Anna Obizhaeva & Tugkan Tuzun, 2016. "Microstructure Invariance in U.S. Stock Market Trades," Working Papers w0230, Center for Economic and Financial Research (CEFIR).
References listed on IDEAS
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More about this item
Keywords
market microstructure; transactions data; market frictions; trade size; tick size; order shredding; clustering; Trades and Quotes (TAQ) data;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2016-05-08 (Financial Markets)
- NEP-MST-2016-05-08 (Market Microstructure)
- NEP-PKE-2016-05-08 (Post Keynesian Economics)
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