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1
Book / Working Paper 		Liquidity commonality and risk management
Year:                     
2012
Person:  Weiß, Gregor N. F.; Supper, Hendrik
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2
Article 		Asset pricing in a fractional market under transaction costs
Year:                     
2012
Person:  Gisin, Vladimir; Markov, Andrey
Published in:  Market risk and financial markets modeling
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3
Article 		Estimation of market resiliency from high-frequency micex shares trading data
Year:                     
2012
Person:  Andreev, Nikolay
Published in:  Market risk and financial markets modeling
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4
Book / Working Paper 		Two Essays on Oil Futures Markets
Year:                     
2011-05-20
Person:  Adeinat, Iman
Institution:  Dept. of Engineering Management
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5
Other 		Two Essays on Oil Futures Markets
Year:                     
2011-05-20
Person:  Adeinat, Iman
Publisher:  UNO
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6
Article 		Electronic vs. Open Outcry: Side-by-Side Trading of KCBT Wheat Futures
Year:                     
2011-04
Person:  Shah, Samarth; Brorsen, B. Wade
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7
Article 		Response of double-auction markets to instantaneous Selling–Buying signals with stochastic Bid–Ask spread
Year:                     
2011
Person:  Ibuki, Takero; Inoue, Jun-ichi
Publisher:  Springer
Published in:  Journal of Economic Interaction and Coordination
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8
Article 		Liquidity on the outside from the inside
Year:                     
2011
Person:  Simonian, Joseph
Publisher:  Taylor and Francis Journals
Published in:  Applied Economics Letters
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9
Article 		Currency bid-ask spread dynamics and the Asian crisis : evidence across currency regimes
Year:                     
2011
Person:  Koutmos, Gregory; Martin, Anna D.
Published in:  Journal of international money and finance ; 30
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10
Article 		Bid-ask spreads, volume, and volatility : evidence from livestock markets
Year:                     
2011
Person:  Frank, Julieta; Garcia, Philip
Published in:  American journal of agricultural economics ; 93
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11
Book / Working Paper 		Do firms buy their stock at bargain prices? : evidence from actual stock repurchase disclosure
Year:                     
2011
Person:  Ben-Rephael, Azi; Oded, Jacob; Wohl, Avi
Publisher:  Frankfurt, Main : Center for Financial Studies
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12
Book / Working Paper 		Limit order flow, market impact and optimal order sizes : evidence from NASDAQ TotalView-ITCH data
Year:                     
2011
Person:  Hautsch, Nikolaus; Huang, Ruihong
Publisher:  Berlin : SFB 649, Economic Risk
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13
Book / Working Paper 		When to cross the spread : curve following with singular control
Year:                     
2011
Person:  Naujokat, Felix; Horst, Ulrich
Publisher:  Berlin : SFB 649, Economic Risk
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14
Book / Working Paper 		Modelling trades-through in a limited order book using Hawkes processes
Year:                     
2011
Person:  Muni Toke, Ioane; Pomponio, Fabrizio
Publisher:  Kiel : Kiel Inst. for the World Economy
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15
Book / Working Paper 		Is BEST really better? : internalization of orders in an open limit order book
Year:                     
2011
Person:  Grammig, Joachim G.; Theissen, Erik
Publisher:  Frankfurt, Main : Center for Financial Studies
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16
Article 		The impact of a change in the tick size rule on market quality : evidence from the Australian Stock Exchange
Year:                     
2011
Person:  Sadeghi, Mehdi; Zhang, Kai
Published in:  International journal of banking, accounting and finance ; 3
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17
Article 		Equity trading in the 21st century
Year:                     
2011
Person:  Angel, James J.; Harris, Lawrence E.; Spatt, Chester S.
Published in:  The quarterly journal of finance ; 1
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18
Article 		The optimal bid/ask spread in a Specialist System
Year:                     
2011
Person:  Castellano, Rosella; Cerqueti, Roy
Published in:  Economic modelling ; 28
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19
Article 		The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Year:                     
2011
Person:  Hautsch, Nikolaus; Hess, Dieter; Veredas, David
Published in:  Journal of banking & finance ; 35
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20
Article 		Measuring the cost of liquidity in agricultural futures markets : conventional and Bayesian approaches
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21
Book / Working Paper 		Predicting bid-ask spreads using long memory autoregressive conditional poisson models
Year:                     
2011
Person:  Groß-Klußmann, Axel; Hautsch, Nikolaus
Publisher:  Berlin : SFB 649, Economic Risk
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22
Article 		Electronic vs. open outcry : side-by-side trading of KCBT wheat futures
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23
Article 		Dealer spread and portfolio selection under price risks : evidence from the gold service industry
Year:                     
2011
Person:  Lu, Jin-ray
Published in:  The service industries journal ; 31
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24
Article 		Regulatory uncertainty and market liquidity : the 2008 short sale ban's impact on equity option markets
Year:                     
2011
Person:  Battalio, Robert; Schultz, Paul
Published in:  The journal of finance : the journal of the American Finance Association ; 66
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25
Article 		The intraday behaviour of bid-ask spreads, trading volume and return volatility : evidence from DAX30
Year:                     
2011
Person:  Hussain, Syed Mujahid
Published in:  International journal of economics and finance ; 3
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26
Article 		The intraday bid-ask spread behaviour of the JPY/USD exchange rate in the EBS electronic brokerage system
Year:                     
2011
Person:  Hua, Mingshu; Li, Chen-yu
Published in:  Applied economics ; 43
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27
Article 		Accounting year-end dispersion and seasonality in the Japanese corporate bond market
Year:                     
2011
Person:  Matsui, Kenji
Published in:  Applied economics ; 43
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28
Article 		Intraday price formation and bid-ask spread components : a new approach using a cross-market model
Year:                     
2011
Person:  Ryu, Doo-jin
Published in:  The journal of futures markets ; 31
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29
Article 		Trading volume, volatility, order flow and spread : evidence from a Tunisian dealer
Year:                     
2011
Person:  Kouki, Imen; Haque, Mahfuzul
Published in:  International journal of business and emerging markets : IJBEM ; 3
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30
Article 		Response of double-auction markets to instantaneous selling-buying signals with stochastic Bid-Ask spread
Year:                     
2011
Person:  Ibuki, Takero; Inoue, Jun-ichi
Published in:  Journal of economic interaction and coordination : JEIC ; 6
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31
Article 		Ownership structure and stock market liquidity : evidence from Tunisia
Year:                     
2011
Person:  Boujelbéne, Nadia Belkhir; Bouri, Abdelfatteh; Prigent, Jean-Luc
Published in:  International journal of managerial and financial accounting ; 3
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32
Book / Working Paper 		Optimales Preissetzungsverhalten von Banken am Markt für Zertifikate
Year:                     
2011
Person:  Fuchs, Björn
Publisher:  Hamburg : Kovač
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33
Article 		Liquidity biases and the pricing of cross-sectional idiosyncratic volatility
Year:                     
2011
Person:  Han, Yufeng; Lesmond, David
Published in:  The review of financial studies ; 24
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34
Article 		Liquidity provision in capacity-constrained markets
Year:                     
2011
Person:  Weill, Pierre-Olivier
Published in:  Macroeconomic dynamics ; 15
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35
Book / Working Paper 		The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Year:                     
2011
Person:  Hautsch, Nikolaus; Hess, Dieter; Veredas, David
Publisher:  Cologne : Centre for Financial Research
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36
Article 		Do peso problems explain the returns to the carry trade?
Year:                     
2011
Affiliated person:  Burnside, Craig; Eichenbaum, Martin; Kleshchelski, Isaac; Rebelo, Sergio
Published in:  The review of financial studies ; 24
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37
Article 		Turkiye'nin Finansal Piyasa Likiditesi, Olcumu ve Analizi
Year:                     
2011
Person:  Yildirim, Burcu Deniz
Institution:  Türkiye Cumhuriyet Merkez Bankası
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38
Article 		Electronic vs. Open Outcry: Side-by-Side Trading of KCBT Wheat Futures
Year:                     
2011
Person:  Shah, Samarth; Brorsen, B. Wade
Institution:  Western Agricultural Economics Association - WAEA
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39
Article 		Changes in REIT Liquidity 1988–2007: Evidence from Daily Data
Year:                     
2011
Person:  Cannon, Susanne; Cole, Rebel
Publisher:  Springer
Published in:  The Journal of Real Estate Finance and Economics
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40
Other 		Three Essays in Empirical Asset Pricing
Year:                     
2010-08
Person:  Jacobs, Thomas A.
Affiliated person:  Pennacchi, George G.; Pennacchi, George G.; Kahn, Charles M.; Pearson, Neil D.; Johnson, Timothy C.
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41
Book / Working Paper 		The Market Microstructure of the European Climate Exchange
Year:                     
2010-07-03
Person:  Mizrach, Bruce; Otsubo, Yoichi
Institution:  Department of Economics, Rutgers University-New Brunswick
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42
Article 		Do accruals exacerbate information asymmetry in the market?
Year:                     
2010
Affiliated person:  Wasan, Sonia; Boone, Jeff P.
Published in:  Advances in accounting : a research annual ; 26
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43
Article 		Spread decomposition with common spread components
Year:                     
2010
Affiliated person:  Henker, Thomas; Martens, Martin
Published in:  International journal of managerial finance : IJMF ; 6
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44
Article 		An empirical investigation of the speed of information aggregation : a study of IPOs
Year:                     
2010
Affiliated person:  Bommel, Jos van; Dahya, Jay; Shi, Zhihong
Published in:  International journal of banking, accounting and finance ; 2
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45
Article 		The effect of settlement regimes on trading cost and market efficiency : evidence from the National Stock Exchange
Year:                     
2010
Affiliated person:  Dalvi, Manoj; Refalo, James F.; Nath, Golak C.
Published in:  Macroeconomics and finance in emerging market economies ; 3
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46
Article 		Adverse selection costs: a study on the Chinese stock market
Year:                     
2010
Affiliated person:  He, Chengying; Lu, Zonghui; He, Xingqiang; Chai, Jun
Published in:  Frontiers of business research in China : selected publications from Chinese universities ; 4
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47
Article 		The effect of director monitoring on bid and ask spreads
Year:                     
2010
Published in:  Journal of international accounting research ; 9
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48
Article 		Evolutionary Sequential Trading
Year:                     
2010
Person:  Ishii, Ryosuke
Institution:  AccessEcon
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49
Article 		Estimating Interest Rate Curves by Support Vector Regression
Year:                     
2010
Person:  Andre d'Almeida Monteiro
Publisher:  Taylor and Francis Journals
Published in:  Econometric Reviews
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50
Book / Working Paper 		Transition to electronic trading of Kansas City Board of Trade wheat futures
Year:                     
2010
Person:  Shah, Samarth; Brorsen, B. Wade
Institution:  Southern Agricultural Economics Association - SAEA
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