Measuring Price Impact and Information Content of Trades in a Time-Varying Setting
Year of publication: |
2023
|
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Authors: | Campigli, Francesco ; Bormetti, Giacomo ; Lillo, Fabrizio |
Publisher: |
[S.l.] : SSRN |
Subject: | Börsenkurs | Share price | Wertpapierhandel | Securities trading | Informationswert | Information value | Theorie | Theory | Marktmikrostruktur | Market microstructure | Volatilität | Volatility |
Extent: | 1 Online-Ressource (41 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 23, 2022 erstellt |
Other identifiers: | 10.2139/ssrn.4310941 [DOI] |
Classification: | C22 - Time-Series Models ; c58 ; G14 - Information and Market Efficiency; Event Studies |
Source: | ECONIS - Online Catalogue of the ZBW |
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