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1
Book / Working Paper 		On the dark side of the market : identifying and analyzing hidden order placements
Year:                     
2012
Person:  Hautsch, Nikolaus; Huang, Ruihong
Publisher:  Berlin : SFB 649, Economic Risk
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2
Book / Working Paper 		On the dark side of the market : identifying and analyzing hidden order placements
Year:                     
2012
Person:  Hautsch, Nikolaus; Huang, Ruihong
Publisher:  Frankfurt, Main : Center for Financial Studies
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3
Book / Working Paper 		Handbook of modeling high-frequency data in finance
Year:                     
c 2012
Publisher:  Hoboken, NJ : Wiley
Affiliated person:  Viens, Frederi G.; Mariani, Maria Cristina; Florenscu, Ionuț
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4
Article 		Modeling of Russian equity market microstructure (MICEX:HYDR case)
Year:                     
2012
Person:  Efremova, Tatyana; Ivliev, Sergey
Published in:  Market risk and financial markets modeling
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5
Article 		Market liquidity measurement and econometric modeling
Year:                     
2012
Person:  Arbuzov, Viacheslav; Frolova, Maria
Published in:  Market risk and financial markets modeling
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6
Book / Working Paper 		Measuring market liquidity: an introductory survey
Year:                     
2011-12-13
Person:  Gabrielsen, Alexandros; Marzo, Massimiliano; Zagaglia, Paolo
Institution:  Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität
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7
Book / Working Paper 		The impact of dark trading and visible fragmentation on market quality
Year:                     
2011-11
Person:  de Jong, Frank; Degryse, Hans; van Kervel, Vincent
Institution:  C.E.P.R. Discussion Papers
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8
Book / Working Paper 		Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices
Year:                     
2011-09-27
Person:  Varneskov, Rasmus Tangsgaard
Institution:  School of Economics and Management, University of Aarhus
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9
Book / Working Paper 		Generalized Flat-Top Realized Kernel Estimation of Ex-Post Variation of Asset Prices Contaminated by Noise
Year:                     
2011-09-01
Person:  Varneskov, Rasmus Tangsgaard
Institution:  School of Economics and Management, University of Aarhus
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10
Book / Working Paper 		Foreign exchange market structure, players and evolution
Year:                     
2011-08-14
Person:  King, Michael R.; Osler, Carol; Rime, Dagfinn
Institution:  Norges Bank
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11
Internet resource 		Forecasting short term yield changes using order flow: Is dealer skill a source of predictability?
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12
Internet resource 		Price discovery in government bond markets
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13
Internet resource 		A direct approach to cross market spillovers
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14
Book / Working Paper 		Fact or friction: Jumps at ultra high frequency
Year:                     
2011-05-26
Person:  Christensen, Kim; Oomen, Roel; Podolskij, Mark
Institution:  School of Economics and Management, University of Aarhus
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15
Book / Working Paper 		Pricing, liquidity and the control of dynamic systems in finance and economics
Year:                     
2011-05-26
Person:  Willis, Geoff
Institution:  Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität
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16
Book / Working Paper 		Competition between Exchanges: A research Agenda
Year:                     
2011-05
Person:  Cantillon, Estelle; Yin, Pai-Ling
Institution:  Solvay Brussels School of Economics and Management, Université Libre de Bruxelles
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17
Book / Working Paper 		Where is the value in high frequency trading?
Year:                     
2011-05
Person:  Cartea, Álvaro; Penalva, José
Institution:  Banco de España
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18
Book / Working Paper 		Repo Market Microstructure in Unusual Monetary Policy Conditions
Year:                     
2011-03
Person:  Dunne, Peter; Fleming, Michael J.; Zholos, Andrey
Institution:  Central Bank of Ireland
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19
Other 		Government Intervention and Strategic Trading in the U.S. Treasury Market
Year:                     
2011-02-25
Person:  Pasquariello, Paolo; Vega, Clara
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20
Book / Working Paper 		The Fragility of Discretionary Liquidity Provision: Lessons from the Collapse of the Auction Rate Securities Market
Year:                     
2011-02
Person:  Han, Song; Li, Dan
Institution:  Hong Kong Institute for Monetary Research (HKIMR), Government of Hong Kong
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21
Book / Working Paper 		Time Series Analysis and Market Microstructure Aspects on Short Time Scales
Year:                     
2011-01-01
Person:  Beck, Alexander
Publisher:  Universität Karlsruhe
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22
Book / Working Paper 		How much you know matters: A note on the exchange rate disconnect puzzle
Year:                     
2011
Person:  Onur, Esen
Institution:  Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität
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23
Article 		STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE
Year:                     
2011
Person:  MÜNNIX, MICHAEL C.; SCHÄFER, RUDI; GUHR, THOMAS
Publisher:  World Scientific Publishing Co. Pte. Ltd.
Published in:  International Journal of Theoretical and Applied Finance (IJTAF)
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24
Article 		Intraday probability of informed trading
Year:                     
2011
Person:  Du, Zaichao
Institution:  AccessEcon
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25
Article 		A new microstructure noise index
Year:                     
2011
Person:  Rosenbaum, Mathieu
Publisher:  Taylor and Francis Journals
Published in:  Quantitative Finance
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26
Article 		Structural changes, bid-ask spread composition and tick size in inter-bank futures trading
Year:                     
2011
Person:  McGroarty, Frank; Gwilym, Owain ap; Thomas, Stephen
Publisher:  Taylor and Francis Journals
Published in:  European Journal of Finance
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27
Article 		End-user order flow and exchange rate dynamics - a dealer's perspective
Year:                     
2011
Person:  Reitz, Stefan; Schmidt, Markus; Taylor, Mark
Publisher:  Taylor and Francis Journals
Published in:  European Journal of Finance
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28
Article 		The Exchange Traded Funds in Italy
Year:                     
2011
Person:  Bianchi, Michele Leonardo; Loddo, Mariano; Miele, Maria Grazia
Publisher:  Bancaria Editrice
Published in:  BANCARIA
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29
Article 		A Case Study of Illegal Insider Trading — The Scandal of Vultures' Insider Trading
Year:                     
2011
Person:  Huang, Yu Chuan; Chan, Shu Hui
Publisher:  World Scientific Publishing Co. Pte. Ltd.
Published in:  Review of Pacific Basin Financial Markets and Policies (RPBFMP)
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30
Article 		INSIDER TRADING UNDER DISCRETENESS
Year:                     
2011
Person:  SCOTTI, MASSIMO
Publisher:  World Scientific Publishing Co. Pte. Ltd.
Published in:  International Journal of Theoretical and Applied Finance (IJTAF)
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31
Article 		Commonality in returns, order flows, and liquidity in the Greek stock market
Year:                     
2011
Person:  Dunne, Peter; Moore, Michael; Papavassiliou, Vasileios
Publisher:  Taylor and Francis Journals
Published in:  European Journal of Finance
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32
Article 		Competition between exchanges : a research agenda
Year:                     
2011
Person:  Cantillon, Estelle; Yin, Pai-Ling
Published in:  International journal of industrial organization ; 29
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33
Article 		Order flow and central bank intervenstion : an empirical analysis of recent Bank of Japan actions in the foreign exchange market
Year:                     
2011
Person:  Marsh, Ian
Published in:  Journal of international money and finance ; 30
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34
Book / Working Paper 		A state space approach to estimating the integrated variance under the existence of market microstructure noise
Year:                     
2011
Person:  Nagakura, Daisuke; Watanabe, Toshiaki
Publisher:  Kunitachi : Hitotsubashi Univ., Research Unit for Statistical and Empirical Analysis in Social Sciences (Hi-Stat)
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35
Article 		On the sources of private information in FX markets
Year:                     
2011
Person:  Moore, Michael J.; Payne, Richard
Published in:  Journal of banking & finance ; 35
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36
Article 		Short-sale constraints and price bubbles
Year:                     
2011
Person:  Lim, Bryan Y.
Published in:  Journal of banking & finance ; 35
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37
Article 		Intraday trading patterns in an intelligent autonomous agent-based stock market
Year:                     
2011
Person:  Kluger, Brian D.; McBride, Mark E.
Published in:  Journal of economic behavior & organization : JEBO ; 79
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38
Article 		Is market fragmentation harming market quality?
Year:                     
2011
Person:  O'Hara, Maureen; Ye, Mao
Published in:  Journal of financial economics ; 100
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39
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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40
Article 		Price dispersion in OTC markets : a new measure of liquidity
Year:                     
2011
Person:  Jankowitsch, Rainer; Nashikkar, Amrut; Subrahmanyam, Marti G.
Published in:  Journal of banking & finance ; 35
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41
Article 		Specialists as risk managers : the competition between intermediated and non-intermediated markets
Year:                     
2011
Person:  Mao, Wen; Pagano, Michael S.
Published in:  Journal of banking & finance ; 35
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42
Book / Working Paper 		Financial econometrics modeling : market microstructure, factor models and financial risk measures
Year:                     
2011
Publisher:  Basingstoke, Hampshire [u.a.] : Palgrave Macmillan
Affiliated person:  Gregoriou, Greg N.; Pascalau, Razvan
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43
Article 		Illiquidity premia in asset returns : an empirical analysis of hedge funds, mutual funds, and US equity portfolios
Year:                     
2011
Person:  Khandani, Amir E.; Lo, Andrew W.
Published in:  The quarterly journal of finance ; 1
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44
Book / Working Paper 		Empirical essays on corporate finance and market microstructure
Year:                     
2011
Person:  Quadflieg, Kristine
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45
Article 		Market impact measurement of a VWAP trading algorithm
Year:                     
2011
Person:  Fraenkle, Jan; Rachev, Svetlozar Zari; Scherrer, Christian
Published in:  Journal of risk management in financial institutions ; 4
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46
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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47
Book / Working Paper 		Optimal liquidation in dark pools
Year:                     
2011
Person:  Kratz, Peter; Schöneborn, Torsten
Publisher:  Berlin : SFB 649, Economic Risk
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48
Article 		Random aggregation with applications in high‐frequency finance
Year:                     
2011
Person:  Tsay, Ruey S.; Jin‐Huei Yeh
Publisher:  John Wiley & Sons, Ltd.
Published in:  Journal of Forecasting
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49
Article 		Order flow and the monetary model of exchange rates : evidence from a novel data set
Year:                     
2011
Person:  Chinn, Menzie D.; Moore, Michael J.
Published in:  Journal of money, credit and banking : JMCB ; 43
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50
Book / Working Paper 		The impact of dark trading and visible fragmentation on market quality
Year:                     
2011
Person:  Degryse, Hans; Jong, Frank de; Kervel, Vincent van
Publisher:  London : Centre for Economic Policy Research
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