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  • Search: subject:"Spread Decomposition Models"
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Year of publication
Subject
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Adverse Selection Risk 4 Dynamic Duration Models 4 Price Impact of Trades 4 Spread Decomposition Models 4 Trading Intensity 4 Adverse Selection 2 Börsenkurs 2 Börsenumsatz 2 Deutschland 2 Informationseffizienz 2 Risiko 2 Schätzung 2 Wertpapierhandel 2 Behavioural finance 1 Bid-ask spread 1 Information asymmetry 1 Marktliquidität 1 Spread decomposition models 1 Time series modelling 1 USA 1 Zeit 1
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Online availability
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Free 4 Undetermined 1
Type of publication
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Book / Working Paper 4 Article 1
Type of publication (narrower categories)
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Working Paper 2 research-article 1
Language
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English 3 Undetermined 2
Author
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Grammig, Joachim G. 4 Beltran-Lopez, Hélena 2 Menkveld, Albert J. 2 Theissen, Erik 2 Wünsche, Oliver 2 Gregoriou, Andros 1 Rhodes, Mark 1
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Institution
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Center for Financial Studies 2
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CFS Working Paper 2 CFS Working Paper Series 2 Review of Behavioral Finance 1
Source
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EconStor 2 RePEc 2 Other ZBW resources 1
Showing 1 - 5 of 5
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The accuracy of spread decomposition models in capturing informed trades : Evidence from the London Stock Exchange and behavioural implications
Gregoriou, Andros; Rhodes, Mark - In: Review of Behavioral Finance 9 (2017) 1, pp. 2-13
(managers) and the proxies for informed trades computed by bid-ask spread decomposition models. Design/methodology/approach An … econometric application of spread decomposition models to data from the London Stock Exchange, with an examination of whether the … alternative to extant spread decomposition models perhaps incorporating findings from behavioural finance. Originality/value Given …
Persistent link: https://www.econbiz.de/10014990061
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Time and the price impact of a trade: A structural approach
Grammig, Joachim G.; Theissen, Erik; Wünsche, Oliver - 2011
We revisit the role of time in measuring the price impact of trades using a new empirical method that combines spread decomposition and dynamic duration modeling. Previous studies which have addressed the issue in a vector-autoregressive framework conclude that times when markets are most active...
Persistent link: https://www.econbiz.de/10010308551
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Limit order books and trade informativeness
Beltran-Lopez, Hélena; Grammig, Joachim G.; Menkveld, … - 2011
In the microstructure literature, information asymmetry is an important determinant of market liquidity. The classic setting is that uninformed dedicated liquidity suppliers charge price concessions when incoming market orders are likely to be informationally motivated. In limit order book...
Persistent link: https://www.econbiz.de/10010308565
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Cover Image
Time and the price impact of a trade: A structural approach
Grammig, Joachim G.; Theissen, Erik; Wünsche, Oliver - Center for Financial Studies - 2011
We revisit the role of time in measuring the price impact of trades using a new empirical method that combines spread decomposition and dynamic duration modeling. Previous studies which have addressed the issue in a vector-autoregressive framework conclude that times when markets are most active...
Persistent link: https://www.econbiz.de/10010986395
Saved in:
Cover Image
Limit order books and trade informativeness
Beltran-Lopez, Hélena; Grammig, Joachim G.; Menkveld, … - Center for Financial Studies - 2011
In the microstructure literature, information asymmetry is an important determinant of market liquidity. The classic setting is that uninformed dedicated liquidity suppliers charge price concessions when incoming market orders are likely to be informationally motivated. In limit order book...
Persistent link: https://www.econbiz.de/10010958547
Saved in:
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