Microstructure invariance in U.S. stock market trades
Albert S. Kyle, Anna A. Obizhaeva, Tugkan Tuzun
| Year of publication: |
2020
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|---|---|
| Authors: | Kyle, Albert S. ; Obižaeva, Anna ; Tuzun, Tugkan |
| Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 49.2020, p. 1-36
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| Subject: | Market microstructure | Invariance | Transaction data | Market frictions | Trade size | Tick size | Order shredding | Clustering | TAQ data | Liquidity | Marktmikrostruktur | Handelsvolumen der Börse | Trading volume | USA | United States | Aktienmarkt | Stock market | Wertpapierhandel | Securities trading | Geld-Brief-Spanne | Bid-ask spread | Volatilität | Volatility | Theorie | Theory | Liquidität |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.finmar.2019.100513 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013531193