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Market Microstructure Invariance: Empirical Hypotheses

Citations

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Cited by:

  1. Kharma, Céline & Eugster, Nicolas, 2021. "Is competition beneficial? The case of exchange traded funds," International Review of Financial Analysis, Elsevier, vol. 76(C).
  2. Kyle, Albert S. & Obizhaeva, Anna A. & Tuzun, Tugkan, 2020. "Microstructure invariance in U.S. stock market trades," Journal of Financial Markets, Elsevier, vol. 49(C).
  3. Fernando Duarte & Thomas M. Eisenbach, 2021. "Fire‐Sale Spillovers and Systemic Risk," Journal of Finance, American Finance Association, vol. 76(3), pages 1251-1294, June.
  4. Miguel C. Herculano, 2024. "Betting Against (Bad) Beta," Papers 2409.00416, arXiv.org.
  5. Chen, Zhimin & Ibragimov, Rustam, 2019. "One country, two systems? The heavy-tailedness of Chinese A- and H- share markets," Emerging Markets Review, Elsevier, vol. 38(C), pages 115-141.
  6. Warusawitharana, Missaka, 2018. "Time-varying volatility and the power law distribution of stock returns," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 123-141.
  7. Gabor Pinter & Chaojun Wang & Junyuan Zou, 2024. "Size Discount and Size Penalty: Trading Costs in Bond Markets," The Review of Financial Studies, Society for Financial Studies, vol. 37(7), pages 2156-2190.
  8. Derick Diana & Tim Gebbie, 2023. "Anomalous diffusion and price impact in the fluid-limit of an order book," Papers 2310.06079, arXiv.org, revised Aug 2024.
  9. 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.
  10. Brini, Alessio & Tantari, Daniele, 2023. "Deep reinforcement trading with predictable returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 622(C).
  11. Jing Nie & Juliana Malagon & Julian Williams, 2022. "The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1434-1465, August.
  12. 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.
  13. Brauneis, Alexander & Mestel, Roland & Theissen, Erik, 2021. "What drives the liquidity of cryptocurrencies? A long-term analysis," Finance Research Letters, Elsevier, vol. 39(C).
  14. Edward W. Sun & Timm Kruse & Yi-Ting Chen, 2019. "Stylized algorithmic trading: satisfying the predictive near-term demand of liquidity," Annals of Operations Research, Springer, vol. 281(1), pages 315-347, October.
  15. Tobek, Ondrej & Hronec, Martin, 2021. "Does it pay to follow anomalies research? Machine learning approach with international evidence," Journal of Financial Markets, Elsevier, vol. 56(C).
  16. Pástor, Ľuboš & Stambaugh, Robert F. & Taylor, Lucian A., 2020. "Fund tradeoffs," Journal of Financial Economics, Elsevier, vol. 138(3), pages 614-634.
  17. Greppmair, Stefan & Theissen, Erik, 2022. "Small is beautiful? How the introduction of mini futures contracts affects the regular contracts," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 19-38.
  18. Fr'ed'eric Bucci & Fabrizio Lillo & Jean-Philippe Bouchaud & Michael Benzaquen, 2019. "Are trading invariants really invariant? Trading costs matter," Papers 1902.03457, arXiv.org.
  19. Frédéric Bucci & Fabrizio Lillo & Jean-Philippe Bouchaud & Michael Benzaquen, 2019. "Are trading invariants really invariant? Trading costs matter," Working Papers hal-02323318, HAL.
  20. Baldauf, Markus & Mollner, Joshua & Yueshen, Bart Zhou, 2024. "Siphoned apart: A portfolio perspective on order flow segmentation," Journal of Financial Economics, Elsevier, vol. 154(C).
  21. Ranaldo, Angelo & de Magistris, Paolo Santucci, 2022. "Liquidity in the global currency market," Journal of Financial Economics, Elsevier, vol. 146(3), pages 859-883.
  22. Szymon Stereńczak, 2020. "State-Dependent Stock Liquidity Premium: The Case of the Warsaw Stock Exchange," IJFS, MDPI, vol. 8(1), pages 1-24, March.
  23. Breuer, Thomas & Summer, Martin & Urošević, Branko, 2023. "Bank solvency stress tests with fire sales," Journal of Financial Stability, Elsevier, vol. 67(C).
  24. Pástor, Luboš & Stambaugh, Robert F. & Taylor, Lucian, 2017. "Portfolio Liquidity and Diversification: Theory and Evidence," CEPR Discussion Papers 12195, C.E.P.R. Discussion Papers.
  25. Onur, Esen & Roberts, John S. & Tuzun, Tugkan, 2023. "Trader positions and aggregate portfolio demand," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
  26. Sağlam, Mehmet & Moallemi, Ciamac C. & Sotiropoulos, Michael G., 2019. "Short-term trading skill: An analysis of investor heterogeneity and execution quality," Journal of Financial Markets, Elsevier, vol. 42(C), pages 1-28.
  27. Diana Barro & Antonella Basso & Stefania Funari & Guglielmo Alessandro Visentin, 2024. "The Effects of the Introduction of Volume-Based Liquidity Constraints in Portfolio Optimization with Alternative Investments," Mathematics, MDPI, vol. 12(15), pages 1-26, August.
  28. Justin Sirignano & Rama Cont, 2018. "Universal features of price formation in financial markets: perspectives from Deep Learning," Papers 1803.06917, arXiv.org.
  29. Moreno, David & Antoli, Marcos & Quintana, David, 2022. "Benefits of investing in cryptocurrencies when liquidity is a factor," Research in International Business and Finance, Elsevier, vol. 63(C).
  30. Frédéric Bucci & Fabrizio Lillo & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Are trading invariants really invariant? Trading costs matter," Post-Print hal-02323318, HAL.
  31. Magdalena Osinska & Andrzej Dobrzynski & Yochanan Shachmurove, 2016. "Performance Of American And Russian Joint Stock Companies On Financial Market. A Microstructure Perspective," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 11(4), pages 819-851, December.
  32. Shimeng Shi & Jia Zhai & Yingying Wu, 2024. "Informational inefficiency on bitcoin futures," The European Journal of Finance, Taylor & Francis Journals, vol. 30(6), pages 642-667, April.
  33. Zhepeng Hu & Mindy Mallory & Teresa Serra & Philip Garcia, 2020. "Measuring price discovery between nearby and deferred contracts in storable and nonstorable commodity futures markets," Agricultural Economics, International Association of Agricultural Economists, vol. 51(6), pages 825-840, November.
  34. Justin Sirignano & Rama Cont, 2018. "Universal features of price formation in financial markets: perspectives from Deep Learning," Working Papers hal-01754054, HAL.
  35. Coen, Jamie & Lepore, Caterina & Schaanning, Eric, 2019. "Taking regulation seriously: fire sales under solvency and liquidity constraints," Bank of England working papers 793, Bank of England.
  36. Braouezec, Yann & Wagalath, Lakshithe, 2019. "Strategic fire-sales and price-mediated contagion in the banking system," European Journal of Operational Research, Elsevier, vol. 274(3), pages 1180-1197.
  37. Mathias Pohl & Alexander Ristig & Walter Schachermayer & Ludovic Tangpi, 2018. "Theoretical and empirical analysis of trading activity," Papers 1803.04892, arXiv.org, revised Oct 2018.
  38. Thomas Breuer & Martin Summer & Branko Urošević, 2021. "Bank Solvency Stress Tests with Fire Sales (Thomas Breuer, Martin Summer, Branko Urošević)," Working Papers 235, Oesterreichische Nationalbank (Austrian Central Bank).
  39. Lauter, Tobias & Prokopczuk, Marcel, 2022. "Measuring commodity market quality," Journal of Banking & Finance, Elsevier, vol. 145(C).
  40. Mousumi Bhattacharya & Sharad Nath Bhattacharya & Sumit Kumar Jha, 2022. "Does time-varying illiquidity matter for the Indian stock market? Evidence from high-frequency data," Australian Journal of Management, Australian School of Business, vol. 47(2), pages 251-272, May.
  41. Hai-Chuan Xu & Zhi-Qiang Jiang & Wei-Xing Zhou, 2016. "Immediate price impact of a stock and its warrant: Power-law or logarithmic model?," Papers 1611.04091, arXiv.org.
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