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~isPartOf:"Journal of financial economics"
~isPartOf:"Quantitative finance"
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Securities trading
124
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6
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Journal of financial economics
Quantitative finance
Working paper / National Bureau of Economic Research, Inc.
134
Journal of banking & finance
126
Journal of financial markets
121
NBER working paper series
105
NBER Working Paper
83
Discussion paper / Centre for Economic Policy Research
81
The review of financial studies
80
Pacific-Basin finance journal
79
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67
Finance research letters
62
International review of financial analysis
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58
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Journal of economic dynamics & control
30
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Market microstructure and liquidity
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Wiley trading series
30
Fisher College of Business working paper series
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SAFE working paper
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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SpringerLink / Bücher
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Journal of financial intermediation
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ECONIS (ZBW)
124
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1
Cross-impact of order flow imbalance in equity markets
Cont, Rama
;
Cucuringu, Mihai
;
Zhang, Chao
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1373-1393
Persistent link: https://www.econbiz.de/10014419165
Saved in:
2
Analysis and modeling of client order flow in limit order markets
Cont, Rama
;
Cucuringu, Mihai
;
Glukhov, Vacslav
; …
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 187-205
Persistent link: https://www.econbiz.de/10014232614
Saved in:
3
A generative model of a limit order book using recurrent neural networks
Hultin, Hanna
;
Hult, Henrik
;
Proutiere, Alexandre
; …
- In:
Quantitative finance
23
(
2023
)
6
,
pp. 931-958
Persistent link: https://www.econbiz.de/10014304400
Saved in:
4
State-dependent Hawkes processes and their application to limit order book modelling
Morariu-Patrichi, Maxime
;
Pakkanen, Mikko S.
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 563-583
Persistent link: https://www.econbiz.de/10013167781
Saved in:
5
Optimal trade execution for Gaussian signals with power-law resilience
Forde, Martin
;
Sánchez-Betancourt, Leandro
;
Smith, Benjamin
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 585-596
Persistent link: https://www.econbiz.de/10013167782
Saved in:
6
Rule-based trading on an order-driven exchange : a reassessment
Isaac, Alan Glen
;
Ramaswamy, Vasudeva
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1871-1886
Persistent link: https://www.econbiz.de/10014452482
Saved in:
7
Heterogeneous liquidity providers and night-minus-day return predictability
Lu, Zhongjin
;
Malliaris, Steven
;
Qin, Zhongling
- In:
Journal of financial economics
148
(
2023
)
3
,
pp. 175-200
Persistent link: https://www.econbiz.de/10014335742
Saved in:
8
When large traders create noise
Glebkin, Sergei
;
Kuong, John Chi-Fong
- In:
Journal of financial economics
150
(
2023
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014462587
Saved in:
9
Media trading groups and short selling manipulation
Jarrow, Robert A.
;
Li, Siguang
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1035-1052
Persistent link: https://www.econbiz.de/10014321662
Saved in:
10
Liquidity fluctuations and the latent dynamics of price impact
Mertens, Luca Philippe
;
Ciacci, Alberto
;
Lillo, Fabrizio
; …
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 149-169
Persistent link: https://www.econbiz.de/10012872529
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