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~isPartOf:"Quantitative finance"
~isPartOf:"Review of Pacific Basin financial markets and policies"
~subject:"High-frequency trading"
~subject:"Trading volume"
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High-frequency trading
Trading volume
Securities trading
51
Wertpapierhandel
51
Börsenkurs
31
Share price
31
Market microstructure
23
Marktmikrostruktur
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Theorie
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Lillo, Fabrizio
2
Abergel, Frédéric
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Bazzana, Flavio
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Bouchaud, Jean-Philippe
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1
Cheng, Ming-Chang
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Ciacci, Alberto
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Cont, Rama
1
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Quantitative finance
Review of Pacific Basin financial markets and policies
Journal of financial markets
27
Journal of banking & finance
14
Finance research letters
11
International review of financial analysis
11
Journal of empirical finance
11
Journal of financial economics
10
Pacific-Basin finance journal
9
Journal of international financial markets, institutions & money
7
The European journal of finance
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CFS working paper series
6
Journal of behavioral and experimental finance
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NBER working paper series
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Research in international business and finance
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SFB 649 discussion paper
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The review of financial studies
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Working paper / National Bureau of Economic Research, Inc.
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Applied economics letters
5
Economic modelling
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Journal of economic dynamics & control
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Market microstructure and liquidity
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The journal of finance : the journal of the American Finance Association
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The journal of futures markets
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
5
Asia-Pacific journal of financial studies
4
Computational economics
4
Finance and economics discussion series
4
Financial markets and portfolio management
4
Fisher College of Business working paper series
4
International journal of managerial finance : IJMF
4
International review of economics & finance : IREF
4
The financial review : the official publication of the Eastern Finance Association
4
The journal of trading
4
Discussion paper
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Discussion paper / Centre for Economic Policy Research
3
International journal of finance & economics : IJFE
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Journal of financial and quantitative analysis : JFQA
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Journal of financial intermediation
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Management science : journal of the Institute for Operations Research and the Management Sciences
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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
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:
3
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:
4
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
Saved in:
5
Market making with inventory control and order book information
Donatoni, Enrico
;
Paterlini, Sandra
;
Bazzana, Flavio
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 597-610
Persistent link: https://www.econbiz.de/10013167784
Saved in:
6
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:
7
Co-impact : crowding effects in institutional trading activity
Bucci, Frederic
;
Mastromatteo, Iacopo
;
Eisler, Zoltan
; …
- In:
Quantitative finance
20
(
2020
)
2
,
pp. 193-205
Persistent link: https://www.econbiz.de/10012194861
Saved in:
8
Price impact of corporate bond trading : evidence from the australian securities exchange
Frino, Alex
;
Lepone, Andrew
;
Lepone, Grace
- In:
Review of Pacific Basin financial markets and policies
22
(
2019
)
3
,
pp. 1950020-1-1950020-22
Persistent link: https://www.econbiz.de/10012156159
Saved in:
9
Price impact and bursts in liquidity provision
Gençay, Ramazan
;
Mahmoodzadeh, S.
;
Rojček, Jakub
; …
- In:
Quantitative finance
18
(
2018
)
7
,
pp. 1129-1148
Persistent link: https://www.econbiz.de/10011911529
Saved in:
10
Ultra-high-frequency lead-lag relationship and information arrival
Thong Minh Dao
;
McGroarty, Frank
;
Urquhart, Andrew
- In:
Quantitative finance
18
(
2018
)
5
,
pp. 725-735
Persistent link: https://www.econbiz.de/10011906948
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