Search Results - subject:"Trade size"

Size discount and size penalty : trading costs in bond markets

Pintér, Gábor; Wang, Chaojun; Zou, Junyuan - 2022

Persistent link: https://www.econbiz.de/10013186000

Volatility, trading activity and maximum lot amounts : evidence from Borsa Istanbul

Gülay, Güzhan - In: Borsa Istanbul Review 22 (2022) 3, pp. 409-425

Intraday analyses of volatility-volume relation by decomposing the volume into number of trades and average trade size …, classifying stocks according to their average trade size and limiting the order size for the stocks traded, has given the chance …

Persistent link: https://www.econbiz.de/10013334755

Industrial organization, order Internalization, and invariance

Bondarenko, Oleg; Obižaeva, Anna; Wang, Yajun - 2020

Persistent link: https://www.econbiz.de/10012494238

Information environments and high price impact trades : implication for volatility and price efficiency

Dionne, Georges; Zhou, Xiaozhou - 2019

Persistent link: https://www.econbiz.de/10012139168

Size-adapted bond liquidity measures and their asset pricing implications

Reichenbacher, Michael; Schuster, Philipp - In: Journal of financial economics 146 (2022) 2, pp. 425-443

Persistent link: https://www.econbiz.de/10013482286

Order based versus level book trade reporting : An empirical analysis

Upson, James; McInish, Thomas H.; Johnson, B. Hardy, IV - In: Journal of banking & finance 125 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10012819753

Microstructure invariance in U.S. stock market trades

Kyle, Albert S.; Obižaeva, Anna; Tuzun, Tugkan - In: Journal of financial markets 49 (2020), pp. 1-36

Persistent link: https://www.econbiz.de/10013531193

Whose trades move stock prices? : evidence from the Taiwan Stock Exchange

Lien, Da-hsiang Donald; Hung, Pi-Hsia; Lin, Zong-Wei - In: International review of economics & finance : IREF 66 (2020), pp. 25-50

Persistent link: https://www.econbiz.de/10012390645

Price limit changes, order decisions, and stock price movements : an empirical analysis of the Taiwan Stock Exchange

Lien, Da-hsiang Donald; Hung, Pi-Hsia; Pan, Chiu-Ting - In: Review of quantitative finance and accounting 55 (2020) 1, pp. 239-268

Persistent link: https://www.econbiz.de/10012233225

Intermarket sweep order trade size clustering around corporate announcements

Nguyen, Vinh Huy; Holowczak, Richard; Mishra, Suchismita - In: Applied economics 51 (2019) 48, pp. 5258-5267

Persistent link: https://www.econbiz.de/10012197215

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