Search Results - subject:"Microstructure"

SIZE AND HETEROGENEITY MATTER. A MICROSTRUCTURE-BASED ANALYSIS OF REGULATION OF SECONDARY MARKETS FOR GOVERNMENT BONDS

Martinez Resano, Jose Ramon - 2021

marketstructure leads to a critical review of microstructure conclusions relevant specificallyfor government debt markets. It is … afragmented microstructure at odds both with exchange-like arrangements and withordinary regulatory approaches. Hence, a generic … that emulate exchange-like orderexecution solutions. More specifically, the paper opposes the hybrid microstructure …

Persistent link: https://www.econbiz.de/10013314170

Market Microstructure of Non Fungible Tokens

Mukhopadhyay, Mayukh; Ghosh, Kaushik - 2021

genuine NFT from fads and scams. This article discuss the NFT market microstructure, with a focus on price formation, market …

Persistent link: https://www.econbiz.de/10014349014

A ReMeDI for microstructure noise

Li, Z. Merrick; Linton, Oliver - In: Econometrica : journal of the Econometric Society, an … 90 (2022) 1, pp. 367-389

Persistent link: https://www.econbiz.de/10012821689

New evidence on the impact of implicit trading costs on asset prices in the Russian stock market

Teplova, Tamara; Gurov, Sergei - In: Applied economics 54 (2022) 51, pp. 5943-5955

Persistent link: https://www.econbiz.de/10013411329

A simple microstructural explanation of the concavity of price impact

Nadtochiy, Sergey - In: Mathematical finance : an international journal of … 32 (2022) 1, pp. 78-113

Persistent link: https://www.econbiz.de/10012815948

Liquidity measurement : a comparative review of the literature with a focus on high frequency

Cobandag Guloglu, Zeynep; Ekinci, Cumhur - In: Journal of economic surveys 36 (2022) 1, pp. 41-74

Persistent link: https://www.econbiz.de/10012816561

Bitcoin price manipulation : evidence from intraday orders and trades

Hu, Bill; Hwang, Joon Ho; Jain, Chinmay; Washam, Jim - In: Applied economics letters 29 (2022) 2, pp. 140-144

Persistent link: https://www.econbiz.de/10012803408

Cross-sectional variation of intraday liquidity, cross-impact, and their effect on portfolio execution

Min, Seungki; Maglaras, Costis; Moallemi, Ciamac C. - In: Operations research 70 (2022) 2, pp. 830-846

Persistent link: https://www.econbiz.de/10013365796

Liquidity-adjusted value-at-risk : a comprehensive extension with microstructural liquidity components

Ryu, Doojin; Webb, Robert I.; Yu, Jinyoung - In: The European journal of finance 28 (2022) 9, pp. 871-888

Persistent link: https://www.econbiz.de/10013373347

Occupation density estimation for noisy high-frequency data

Zhang, Congshan; Li, Jia; Bollerslev, Tim - In: Journal of econometrics 227 (2022) 1, pp. 189-211

Persistent link: https://www.econbiz.de/10013441646