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Market microstructure: A survey

Citations

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Cited by:

  1. Thierry Foucault & Ohad Kadan & Eugene Kandel, 2005. "Limit Order Book as a Market for Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 18(4), pages 1171-1217.
  2. Jin-Huei Yeh & Jying-Nan Wang & Chung-Ming Kuan, 2014. "A noise-robust estimator of volatility based on interquantile ranges," Review of Quantitative Finance and Accounting, Springer, vol. 43(4), pages 751-779, November.
  3. Cartea, Álvaro & Payne, Richard & Penalva, José & Tapia, Mikel, 2019. "Ultra-fast activity and intraday market quality," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 157-181.
  4. Mirowski, Philip, 2007. "Markets come to bits: Evolution, computation and markomata in economic science," Journal of Economic Behavior & Organization, Elsevier, vol. 63(2), pages 209-242, June.
  5. LiCalzi, Marco & Pellizzari, Paolo, 2007. "Simple market protocols for efficient risk sharing," Journal of Economic Dynamics and Control, Elsevier, vol. 31(11), pages 3568-3590, November.
  6. Geoff Willis, 2011. "Pricing, liquidity and the control of dynamic systems in finance and economics," Papers 1105.5503, arXiv.org.
  7. Robert Jarrow, 2018. "Asset market equilibrium with liquidity risk," Annals of Finance, Springer, vol. 14(2), pages 253-288, May.
  8. Marcel Blais & Philip Protter, 2012. "Signing trades and an evaluation of the Lee–Ready algorithm," Annals of Finance, Springer, vol. 8(1), pages 1-13, February.
  9. Giuliana Passamani & Roberto Tamborini & Matteo Tomaselli, 2016. "Taxing financial transactions in fundamentally heterogeneous markets," DEM Working Papers 2016/10, Department of Economics and Management.
  10. Huszár, Zsuzsa R. & Tan, Ruth S.K. & Zhang, Weina, 2017. "Do short sellers exploit industry information?," Journal of Empirical Finance, Elsevier, vol. 41(C), pages 118-139.
  11. Johannes A. Skjeltorp & Elvira Sojli & Wing Wah Tham, 2011. "Sunshine trading: Flashes of trading intent at the NASDAQ," Working Paper 2011/17, Norges Bank.
  12. Eduardo Rossi & Dean Fantazzini, 2015. "Long Memory and Periodicity in Intraday Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 13(4), pages 922-961.
  13. Davis, Lance E. & Neal, Larry & White, Eugene, 2007. "The Highest Price Ever: The Great NYSE Seat Sale of 1928–1929 and Capacity Constraints," The Journal of Economic History, Cambridge University Press, vol. 67(3), pages 705-739, September.
  14. Bauwens, Luc & Giot, Pierre & Grammig, Joachim & Veredas, David, 2004. "A comparison of financial duration models via density forecasts," International Journal of Forecasting, Elsevier, vol. 20(4), pages 589-609.
  15. Phillip Monin, 2014. "Hedging Market Risk in Optimal Liquidation," Working Papers 14-08, Office of Financial Research, US Department of the Treasury.
  16. Giuliano Iannotta & Simon H. Kwan, 2022. "The Impact Of Reserves Practices On Bank Opacity," Journal of Financial Management, Markets and Institutions (JFMMI), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 1-26, June.
  17. Yan, Meng & Chen, Jian & Song, Victor & Xu, Ke, 2022. "Trade friction and price discovery in the USD–CAD spot and forward markets," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  18. Xinyang Li & Andreas Krause, 2011. "An evolutionary multi‐objective optimization of trading rules in call markets," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 18(1), pages 1-14, January.
  19. Marc van Kralingen & Diego Garlaschelli & Karolina Scholtus & Iman van Lelyveld, 2020. "Crowded trades, market clustering, and price instability," Tinbergen Institute Discussion Papers 20-007/II, Tinbergen Institute.
  20. Michael McAleer & Marcelo C. Medeiros, 2009. "Forecasting Realized Volatility with Linear and Nonlinear Models," CARF F-Series CARF-F-189, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  21. Coskun, Yener & Cetin, Muge, 2018. "Menkul Kiymet Borsalarinda Pi̇yasa Mi̇kro Yapisi: Tasarim Ve Ri̇skler [STOCK EXCHANGE MICROSTRUCTURE: DESIGN and RISKS]," MPRA Paper 105590, University Library of Munich, Germany.
  22. Ozsoylev, Han N. & Takayama, Shino, 2010. "Price, trade size, and information revelation in multi-period securities markets," Journal of Financial Markets, Elsevier, vol. 13(1), pages 49-76, February.
  23. Neeman Zvika & Vulkan Nir, 2010. "Markets versus Negotiations: The Predominance of Centralized Markets," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 10(1), pages 1-30, February.
  24. Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2010. "Private information, stock markets, and exchange rates," BIS Papers chapters, in: Bank for International Settlements (ed.), The international financial crisis and policy challenges in Asia and the Pacific, volume 52, pages 186-210, Bank for International Settlements.
  25. Chelley-Steeley, Patricia & Park, Keebong, 2010. "The adverse selection component of exchange traded funds," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 65-76, January.
  26. Ahmad Peivandi & Rakesh V. Vohra, 2021. "Instability of Centralized Markets," Econometrica, Econometric Society, vol. 89(1), pages 163-179, January.
  27. Fleming, Michael & Nguyen, Giang & Rosenberg, Joshua, 2024. "How do Treasury dealers manage their positions?," Journal of Financial Economics, Elsevier, vol. 158(C).
  28. O'Hara, Maureen & Ye, Mao, 2011. "Is market fragmentation harming market quality?," Journal of Financial Economics, Elsevier, vol. 100(3), pages 459-474, June.
  29. Degryse, H.A. & van Achter, M. & Wuyts, G., 2012. "Internalization, Clearing and Settlement, and Liquidity," Other publications TiSEM 3744cb8d-b4ce-47a1-9abd-f, Tilburg University, School of Economics and Management.
  30. Silvio John Camilleri & Christopher J. Green, 2009. "The impact of the suspension of opening and closing call auctions: evidence from the National Stock Exchange of India," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 1(3), pages 257-284.
  31. Angeles de Frutos, M. & Manzano, Carolina, 2005. "Trade disclosure and price dispersion," Journal of Financial Markets, Elsevier, vol. 8(2), pages 183-216, May.
  32. Kuttu, Saint, 2017. "Time-varying conditional discrete jumps in emerging African equity markets," Global Finance Journal, Elsevier, vol. 32(C), pages 35-54.
  33. Roberto Pascual & David Veredas, 2010. "Does the Open Limit Order Book Matter in Explaining Informational Volatility?," Journal of Financial Econometrics, Oxford University Press, vol. 8(1), pages 57-87, Winter.
  34. Iordanis Kalaitzoglou & Boulis Maher Ibrahim, 2010. "Does Order Flow in the European Carbon Allowances Market Reveal Information?," CFI Discussion Papers 1003, Centre for Finance and Investment, Heriot Watt University.
  35. Hans Dewachter & Kristien Smedts, 2007. "Limits to international arbitrage: an empirical evaluation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(3), pages 273-285.
  36. Jorge Selaive C., 2005. "Actividad del Mercado Cambiario y Movimiento del Tipo de Cambio Nominal," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 8(3), pages 75-83, December.
  37. Scott Duke Kominers & Alexander Teytelboym & Vincent P Crawford, 2017. "An invitation to market design," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 33(4), pages 541-571.
  38. Scheicher, Martin, 2023. "Intermediation in US and EU bond and swap markets: stylised facts, trends and impact of the coronavirus (COVID-19) crisis in March 2020," ESRB Occasional Paper Series 24, European Systemic Risk Board.
  39. Vayanos, Dimitri & Wang, Jiang, 2012. "Market liquidity - theory and empirical evidence," LSE Research Online Documents on Economics 119044, London School of Economics and Political Science, LSE Library.
  40. Chris D'Souza, 2002. "A Market Microstructure Analysis of Foreign Exchange Intervention in Canada," Staff Working Papers 02-16, Bank of Canada.
  41. Castellano, Rosella & Cerqueti, Roy, 2011. "The optimal bid/ask spread in a Specialist System," Economic Modelling, Elsevier, vol. 28(5), pages 2247-2253, September.
  42. Charles Goodhart & Ryan Love & Richard Payne & Dagfinn Rime, 2002. "Analysis of spreads in the dollar/euro and deutschemark/dollar foreign exchange markets," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 17(35), pages 535-552.
  43. Ignacio Arango & Diego A. Agudelo, 2017. "How does information disclosure affect liquidity?Evidence from an Emerging Market," Documentos de Trabajo de Valor Público 16990, Universidad EAFIT.
  44. Marvin Barth & Eli Remolona & Philip Wooldridge, 2002. "Changes in market functioning and central bank policy: an overview of the issues," BIS Papers chapters, in: Bank for International Settlements (ed.), Market functioning and central bank policy, volume 12, pages 1-24, Bank for International Settlements.
  45. Dieter Hendricks & Tim Gebbie & Diane Wilcox, 2015. "Detecting intraday financial market states using temporal clustering," Papers 1508.04900, arXiv.org, revised Feb 2017.
  46. Saki Bigio & Galo Nuño & Juan Passadore, 2019. "A Framework for Debt-Maturity Management," Working Papers 143, Peruvian Economic Association.
  47. Kei Kawakami, 2014. "Information Aggregation and Optimal Market Size," Department of Economics - Working Papers Series 1182, The University of Melbourne.
  48. Mansanet-Bataller, Maria & Chevallier, Julien & Hervé-Mignucci, Morgan & Alberola, Emilie, 2011. "EUA and sCER phase II price drivers: Unveiling the reasons for the existence of the EUA-sCER spread," Energy Policy, Elsevier, vol. 39(3), pages 1056-1069, March.
  49. Hörner, Johannes & Lovo, Stefano & Tomala, Tristan, 2018. "Belief-free price formation," Journal of Financial Economics, Elsevier, vol. 127(2), pages 342-365.
  50. Ripamonti, Alexandre, 2019. "Capital Structure Adjustments and Asymmetric Information," MPRA Paper 96936, University Library of Munich, Germany.
  51. Xiao, Xijuan & Yamamoto, Ryuichi, 2020. "Price discovery, order submission, and tick size during preopen period," Pacific-Basin Finance Journal, Elsevier, vol. 63(C).
  52. Degiannakis, Stavros & Livada, Alexandra, 2013. "Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process," Economic Modelling, Elsevier, vol. 30(C), pages 212-216.
  53. Oriol, Nathalie & Rufini, Alexandra & Torre, Dominique, 2018. "Fifty-shades of grey: Competition between dark and lit pools in stock exchanges," Information Economics and Policy, Elsevier, vol. 45(C), pages 68-85.
  54. Martinez, Valeria & Gupta, Paramita & Tse, Yiuman & Kittiakarasakun, Jullavut, 2011. "Electronic versus open outcry trading in agricultural commodities futures markets," Review of Financial Economics, Elsevier, vol. 20(1), pages 28-36, January.
  55. Dionne, Georges & Zhou, Xiaozhou, 2016. "The Dynamics of Ex-ante High-Frequency Liquidity: An Empirical Analysis," Working Papers 15-5, HEC Montreal, Canada Research Chair in Risk Management.
  56. Pouget, Sébastien & Villeneuve, Stéphane, 2012. "A Mind is a Terrible Thing to Change: Confirmation Bias in Financial Markets," IDEI Working Papers 720, Institut d'Économie Industrielle (IDEI), Toulouse, revised Aug 2016.
  57. Joshua V. Rosenberg & Leah G. Traub, 2006. "Price discovery in the foreign currency futures and spot market," Staff Reports 262, Federal Reserve Bank of New York.
  58. Kei Kawakami, 2017. "Welfare Consequences of Information Aggregation and Optimal Market Size," American Economic Journal: Microeconomics, American Economic Association, vol. 9(4), pages 303-323, November.
  59. He, Yinghua & Nielsson, Ulf & Guo, Hong & Yang, Jiong, 2014. "Subscribing to transparency," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 189-206.
  60. Paolo Vitale, 2007. "A Guided Tour Of The Market Microstructure Approach To Exchange Rate Determination," Journal of Economic Surveys, Wiley Blackwell, vol. 21(5), pages 903-934, December.
  61. Boehmer, Beatrice & Boehmer, Ekkehart, 2003. "Trading your neighbor's ETFs: Competition or fragmentation?," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1667-1703, September.
  62. Enrico Scalas & Rudolf Gorenflo & Hugh Luckock & Francesco Mainardi & Maurizio Mantelli & Marco Raberto, 2004. "Anomalous waiting times in high-frequency financial data," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 695-702.
  63. Yiuman Tse & Brian C. McTier & John K. Wald, 2011. "Do Stock Markets Catch the Flu? We examine the impact of influenza on the U.S. stock market. A higher incidence of flu is associated with decreased trading, decreased volatility, and higher bid-ask sp," Working Papers 0004, College of Business, University of Texas at San Antonio.
  64. Czupryna Marcin & Oleksy Paweł, 2018. "The Effect of an Electronic Exchange on Prices and Return Volatility in the Fine Wine Market," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 14(4), pages 22-35, December.
  65. Gaffeo, Edoardo & Molinari, Massimo, 2017. "Taxing financial transactions in fundamentally heterogeneous markets," Economic Modelling, Elsevier, vol. 64(C), pages 322-333.
  66. Luitgard Veraart, 2010. "Optimal Market Making in the Foreign Exchange Market," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(4), pages 359-372.
  67. Ingo Fender & Ulf Lewrick, 2015. "Shifting tides - market liquidity and market-making in fixed income instruments," BIS Quarterly Review, Bank for International Settlements, March.
  68. Xinyang Li & Andreas Krause, 2010. "Determining the optimal market structure using near-zero intelligence traders," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 5(2), pages 155-167, December.
  69. Egon Franck & Erwin Verbeek & Stephan Nüesch, 2011. "Sentimental Preferences and the Organizational Regime of Betting Markets," Southern Economic Journal, John Wiley & Sons, vol. 78(2), pages 502-518, October.
  70. van Achter, Mark, 2008. "Dynamic limit order market with diversity in trading horizons," CFS Working Paper Series 2008/46, Center for Financial Studies (CFS).
  71. Angel Pardo & Roberto Pascual, 2012. "On the hidden side of liquidity," The European Journal of Finance, Taylor & Francis Journals, vol. 18(10), pages 949-967, November.
  72. Malte Krueger, 2012. "Money: A Market Microstructure Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(6), pages 1245-1258, September.
  73. B. Tóth & Z. Eisler & F. Lillo & J. Kockelkoren & J.-P. Bouchaud & J.D. Farmer, 2012. "How does the market react to your order flow?," Quantitative Finance, Taylor & Francis Journals, vol. 12(7), pages 1015-1024, May.
  74. Jan Kallsen & Johannes Muhle-Karbe, 2014. "High-Resilience Limits of Block-Shaped Order Books," Papers 1409.7269, arXiv.org.
  75. Strobl, Günter, 2022. "A theory of procyclical market liquidity," Journal of Economic Dynamics and Control, Elsevier, vol. 138(C).
  76. Ramiro Losada López, 2010. "On the role of transparency in the ABS secondary market," CNMV Working Papers CNMV Working Papers no. 3, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
  77. Jan Novotny, 2010. "Were Stocks during the Financial Crisis More Jumpy: A Comparative Study," CERGE-EI Working Papers wp416, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  78. Aritra Pan & Arun Kumar Misra & David McMillan, 2021. "A comprehensive study on bid-ask spread and its determinants in India," Cogent Economics & Finance, Taylor & Francis Journals, vol. 9(1), pages 1898735-189, January.
  79. Dmitry Levando & Maxim Sakharov, 2018. "Natural Instability of Equilibrium Prices," Working Papers 2018:01, Department of Economics, University of Venice "Ca' Foscari".
  80. Damien Challet & Robin Stinchcombe, 2003. "Non-constant rates and over-diffusive prices in a simple model of limit order markets," Quantitative Finance, Taylor & Francis Journals, vol. 3(3), pages 155-162.
  81. Martin Evans and Richard Lyons, 2007. "How Is Macro News Transmitted to Exchange Rates?," Working Papers gueconwpa~07-07-10, Georgetown University, Department of Economics.
  82. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2007. "Agent-based Models of Financial Markets," Papers physics/0701140, arXiv.org.
  83. Menkveld, A.J., 2001. "Splitting Orders in Fragmented Markets; evidence from cross-listed stocks," Econometric Institute Research Papers EI 2001-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  84. Söderberg, Jonas, 2008. "Do Macroeconomic Variables Forecast Changes in Liquidity? An Out-of-sample Study on the Order-driven Stock Markets in Scandinavia," CAFO Working Papers 2009:10, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics.
  85. Yiuman Tse & Brian C. McTier & John K. Wald, 2011. "Do Stock Markets Catch the Flu? We examine the impact of influenza on the U.S. stock market. A higher incidence of flu is associated with decreased trading, decreased volatility, and higher bid-ask sp," Working Papers 0004, College of Business, University of Texas at San Antonio.
  86. Kutschinski, Erich & Uthmann, Thomas & Polani, Daniel, 2003. "Learning competitive pricing strategies by multi-agent reinforcement learning," Journal of Economic Dynamics and Control, Elsevier, vol. 27(11-12), pages 2207-2218, September.
  87. Bourjade, Sylvain, 2009. "Strategic price discounting and rationing in uniform price auctions," Economics Letters, Elsevier, vol. 105(1), pages 23-27, October.
  88. Ifuero Osad Osamwonyi & Osazee G. Omorokunwa, 2017. "Presidential Election and Portfolio Selections in the Nigeria Stock Exchange," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 8(4), pages 184-195, October.
  89. Jean-Philippe Bouchaud, 2021. "The Inelastic Market Hypothesis: A Microstructural Interpretation," Papers 2108.00242, arXiv.org, revised Jan 2022.
  90. Martin Gold, 2010. "Fiduciary Finance," Books, Edward Elgar Publishing, number 13813.
  91. M. Punniyamoorthy & Jose Joy Thoppan, 2012. "Detection of stock price manipulation using quadratic discriminant analysis," International Journal of Financial Services Management, Inderscience Enterprises Ltd, vol. 5(4), pages 369-388.
  92. Geoff Willis, 2011. "Why Money Trickles Up - Wealth & Income Distributions," Papers 1105.2122, arXiv.org, revised May 2011.
  93. Bert Menkveld, 2001. "Splitting Orders in Fragmented Markets," Tinbergen Institute Discussion Papers 01-059/2, Tinbergen Institute.
  94. 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.
  95. Michel Callon & Fabian Muniesa, 2005. "Economic markets as calculative collective devices," Post-Print halshs-00087477, HAL.
  96. Menkveld, Albert J., 2013. "High frequency trading and the new market makers," Journal of Financial Markets, Elsevier, vol. 16(4), pages 712-740.
  97. Maria Mansanet-Bataller & Julien Chevallier & Morgan Hervé-Mignucci & Emilie Alberola, 2010. "The EUA-sCER Spread: Compliance Strategies and Arbitrage in the European Carbon Market," Post-Print halshs-00458991, HAL.
  98. Daniel Kirste & Alexander Poddey & Niclas Kannengießer & Ali Sunyaev, 2024. "On the influence of conventional and automated market makers on market quality in cryptoeconomic systems," Electronic Markets, Springer;IIM University of St. Gallen, vol. 34(1), pages 1-18, December.
  99. Clinet, Simon & Potiron, Yoann, 2019. "Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book," Journal of Econometrics, Elsevier, vol. 209(2), pages 289-337.
  100. Jorge Faleiro & Edward Tsang, 2018. "Supporting Crowd-Powered Science in Economics: FRACTI, a Conceptual Framework for Large-Scale Collaboration and Transparent Investigation in Financial Markets," Papers 1808.07959, arXiv.org.
  101. Ripamonti, Alexandre, 2016. "Corwin-Schultz bid-ask spread estimator in the Brazilian stock market," MPRA Paper 79459, University Library of Munich, Germany.
  102. Jérémy Ducros & Angelo Riva, 2018. "The Lyon Stock Exchange: The Survival of the Fittest (1866-1914)," PSE Working Papers halshs-01800720, HAL.
  103. Havran, Dániel & Erb, Tamás, 2015. "Mit veszítünk a piaci súrlódásokkal?. A pénzügyi piacok mikrostruktúrája [Trading mechanisms and market frictions. Microstructure of the financial markets]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 229-262.
  104. Hupperets, Erik C. J. & Menkveld, Albert J., 2002. "Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York," Journal of Financial Markets, Elsevier, vol. 5(1), pages 57-82, January.
  105. Franke, Maximilian, 2020. "Do market participants misprice lottery-type assets? Evidence from the European soccer betting market," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 1-18.
  106. Michael Greenstone & Paul Oyer & Annette Vissing-Jorgensen, 2006. "Mandated Disclosure, Stock Returns, and the 1964 Securities Acts Amendments," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 121(2), pages 399-460.
  107. Michael R. King, 2009. "Prebid Run‐Ups Ahead of Canadian Takeovers: How Big Is the Problem?," Financial Management, Financial Management Association International, vol. 38(4), pages 699-726, December.
  108. Joakim Westerlund & Simon Reese & Paresh Narayan, 2017. "A Factor Analytical Approach to Price Discovery," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(3), pages 366-394, June.
  109. Diego A. Agudelo & Ignacio Arango, 2017. "How does information disclosure affect liquidity? Evidence from an Emerging Market," Documentos de Trabajo de Valor Público 16944, Universidad EAFIT.
  110. Frijns, Bart & Indriawan, Ivan & Tourani-Rad, Alireza, 2018. "The interactions between price discovery, liquidity and algorithmic trading for U.S.-Canadian cross-listed shares," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 136-152.
  111. Chris D'Souza & Alexandra Lai, 2006. "The Effects Of Bank Consolidation On Risk Capital Allocation And Market Liquidity," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 29(2), pages 271-291, June.
  112. Egon Franck & Erwin Verbeek & Stephan Nüesch, 2013. "Inter-market Arbitrage in Betting," Economica, London School of Economics and Political Science, vol. 80(318), pages 300-325, April.
  113. Rasika Yatigammana & Shelton Peiris & Richard Gerlach & David Edmund Allen, 2018. "Modelling and Forecasting Stock Price Movements with Serially Dependent Determinants," Risks, MDPI, vol. 6(2), pages 1-22, May.
  114. Timo Dimitriadis & Roxana Halbleib & Jeannine Polivka & Jasper Rennspies & Sina Streicher & Axel Friedrich Wolter, 2022. "Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models," Papers 2212.11833, arXiv.org, revised Dec 2023.
  115. Flannery, Mark J. & Kwan, Simon H. & Nimalendran, Mahendrarajah, 2013. "The 2007–2009 financial crisis and bank opaqueness," Journal of Financial Intermediation, Elsevier, vol. 22(1), pages 55-84.
  116. DESGRANGES, Gabriel & FOUCAULT, Thierry, 2000. "Reputation-based pricing and price improvements in dealership markets," HEC Research Papers Series 716, HEC Paris, revised 01 Mar 2002.
  117. Anil Arya & Brian Mittendorf & Ram N. V. Ramanan, 2022. "Tax-Favored Stock Donations by Corporate Insiders and Consequences for Equity Markets," Management Science, INFORMS, vol. 68(11), pages 8506-8514, November.
  118. Sergey S. Stepanov, 2009. "Resilience of Volatility," Papers 0911.5048, arXiv.org.
  119. Yaron Leitner, 2009. "Inducing agents to report hidden trades: a theory of an intermediary," Working Papers 09-10, Federal Reserve Bank of Philadelphia.
  120. Rasmeet Kohli, 2014. "Market fragmentation of securities market: traditional exchanges versus alternate trading venues," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 7(2), pages 303-314, September.
  121. repec:bla:jecsur:v:22:y:2008:i:4:p:711-751 is not listed on IDEAS
  122. repec:prg:jnlpep:v:preprint:id:528 is not listed on IDEAS
  123. Scalas, Enrico & Kaizoji, Taisei & Kirchler, Michael & Huber, Jürgen & Tedeschi, Alessandra, 2006. "Waiting times between orders and trades in double-auction markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 366(C), pages 463-471.
  124. Mark J. Flannery & Simon H. Kwan & Mahendrarajah Nimalendran, 2010. "The 2007-09 financial crisis and bank opaqueness," Working Paper Series 2010-27, Federal Reserve Bank of San Francisco.
  125. Georges Dionne & Xiaozhou Zhou, 2020. "The dynamics of ex-ante weighted spread: an empirical analysis," Quantitative Finance, Taylor & Francis Journals, vol. 20(4), pages 593-617, April.
  126. Hatheway, Frank & Kwan, Amy & Zheng, Hui, 2017. "An Empirical Analysis of Market Segmentation on U.S. Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(6), pages 2399-2427, December.
  127. Degryse, H.A., 2007. "Competition on financial markets : Does market design matter?," Other publications TiSEM ee5530b2-34f7-4d95-ad62-f, Tilburg University, School of Economics and Management.
  128. Yaron Leitner, 2010. "Inducing agents to report hidden trades: a theory of an intermediary," Working Papers 10-28, Federal Reserve Bank of Philadelphia.
  129. Wong, Woon K. & Liu, Bo & Zeng, Yong, 2009. "Can price limits help when the price is falling? Evidence from transactions data on the Shanghai Stock Exchange," China Economic Review, Elsevier, vol. 20(1), pages 91-102, March.
  130. Smyth, Nick & Wetherilt, Anne, 2011. "Trading models and liquidity provision in OTC derivatives markets," Bank of England Quarterly Bulletin, Bank of England, vol. 51(4), pages 331-340.
  131. Chuqiao Zong & Chaojie Wang & Molei Qin & Lei Feng & Xinrun Wang & Bo An, 2024. "MacroHFT: Memory Augmented Context-aware Reinforcement Learning On High Frequency Trading," Papers 2406.14537, arXiv.org.
  132. Kriti Kulshrestha & Saumitra N. Bhaduri, 2019. "The Joint Dynamics of Liquidity and Volatility Across Small- and Large- index Indian Funds," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(2_suppl), pages 167-182, August.
  133. Allen, David & Lazarov, Zdravetz & McAleer, Michael & Peiris, Shelton, 2009. "Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2535-2555.
  134. Michael McAleer & Marcelo Medeiros, 2008. "Realized Volatility: A Review," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 10-45.
  135. Hezhi Luo & Yuanyuan Chen & Xianye Zhang & Duan Li & Huixian Wu, 2020. "Effective Algorithms for Optimal Portfolio Deleveraging Problem with Cross Impact," Papers 2012.07368, arXiv.org, revised Jan 2021.
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