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~person:"Abergel, Frédéric"
~person:"Wee, Marvin"
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Securities trading
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Abergel, Frédéric
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ECONIS (ZBW)
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1
Strategic trading by insiders in the presence of institutional investors
Lai Trung Hoang
;
Wee, Marvin
;
Yang, Wenling
- In:
Journal of financial markets
64
(
2023
),
pp. 1-23
Persistent link: https://www.econbiz.de/10014466099
Saved in:
2
The effect of short selling on volatility and jumps
Ho, Glenn Kit Foong
;
Sirimon Treepongkaruna
;
Wee, Marvin
; …
- In:
Australian journal of management
47
(
2022
)
1
,
pp. 34-52
Persistent link: https://www.econbiz.de/10012801592
Saved in:
3
Market impact : a systematic study of the high frequency options market
Said, Emilio
;
Bel Hadj Ayed, Ahmed
;
Thillou, Damien
; …
- In:
Quantitative finance
21
(
2021
)
1
,
pp. 69-84
Persistent link: https://www.econbiz.de/10012424634
Saved in:
4
Algorithmic trading in a microstructural limit order book model
Abergel, Frédéric
;
Huré, Côme
;
Pham, Huyên
- In:
Quantitative finance
20
(
2020
)
8
,
pp. 1263-1283
Persistent link: https://www.econbiz.de/10012262662
Saved in:
5
Order-Book Modeling and Market Making Strategies
Lu, Xiaofei
;
Abergel, Frédéric
- In:
Market microstructure and liquidity
4
(
2018
)
1/2
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012256407
Saved in:
6
High-dimensional Hawkes processes for limit order books : modelling, empirical analysis and numerical calibration
Lu, Xiaofei
;
Abergel, Frédéric
- In:
Quantitative finance
18
(
2018
)
2
,
pp. 249-264
Persistent link: https://www.econbiz.de/10011905913
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7
The role of algorithmic trading in stock liquidity and commonality in electronic limit order markets
Moriyasu, Hiroshi
;
Wee, Marvin
;
Yu, Jing
- In:
Pacific-Basin finance journal
49
(
2018
),
pp. 103-128
Persistent link: https://www.econbiz.de/10012117677
Saved in:
8
Market impact : a systematic study of limit orders
Said, Emilio
;
Bel Hadj Ayed, Ahmed
;
Husson, Alexandre
; …
- In:
Market microstructure and liquidity
3
(
2017
)
3/4
,
pp. 1-33
Persistent link: https://www.econbiz.de/10011988894
Saved in:
9
Pinning down an effective measure for probability of informed trading
Petchey, James
;
Wee, Marvin
;
Yang, Wenling
- In:
Pacific-Basin finance journal
40
(
2016
),
pp. 456-475
Persistent link: https://www.econbiz.de/10011712277
Saved in:
10
The evolution of informed liquidity provision : evidence from an order-driven market
Wee, Marvin
;
Yang, Wenling
- In:
European financial management : the journal of the …
22
(
2016
)
5
,
pp. 882-915
Persistent link: https://www.econbiz.de/10011713172
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