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  • Search: subject:"microstructure"
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Year of publication
Subject
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Market microstructure 3,514 Marktmikrostruktur 3,334 Theorie 1,563 Theory 1,529 Wertpapierhandel 1,189 Securities trading 1,171 Börsenkurs 1,057 Share price 1,035 market microstructure 716 Volatility 652 Volatilität 651 Bid-ask spread 457 Geld-Brief-Spanne 445 Schätzung 433 Liquidity 430 Electronic trading 423 Elektronisches Handelssystem 422 Estimation 416 Börsenhandel 389 Stock exchange trading 387 Devisenmarkt 375 Aktienmarkt 364 Foreign exchange market 358 Finanzmarkt 354 Financial market 350 Liquidität 346 Stock market 346 USA 317 Asymmetric information 314 Asymmetrische Information 312 United States 303 Wettbewerb 284 Handelsvolumen der Börse 272 Trading volume 272 Marktliquidität 264 Market liquidity 263 Wechselkurs 262 Exchange rate 252 Anlageverhalten 245 Behavioural finance 239
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Online availability
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Free 2,028 Undetermined 1,151 CC license 33
Type of publication
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Book / Working Paper 2,553 Article 2,306 Other 8 Journal 3
Type of publication (narrower categories)
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Article in journal 1,755 Aufsatz in Zeitschrift 1,755 Working Paper 853 Graue Literatur 732 Non-commercial literature 732 Arbeitspapier 660 Hochschulschrift 184 Thesis 152 Aufsatz im Buch 123 Book section 123 Collection of articles written by one author 41 Sammlung 41 Collection of articles of several authors 38 Sammelwerk 38 Article 26 Aufsatzsammlung 25 Systematic review 17 Übersichtsarbeit 17 Bibliografie enthalten 16 Bibliography included 16 Dissertation u.a. Prüfungsschriften 15 research-article 13 Conference paper 11 Konferenzbeitrag 11 Konferenzschrift 10 Rezension 9 Conference proceedings 6 Forschungsbericht 5 Lehrbuch 4 Bibliografie 3 Reprint 3 Textbook 3 Handbook 2 Handbuch 2 Mikroform 2 Amtsdruckschrift 1 Case study 1 Elektronischer Datenträger 1 Fallstudie 1 Fallstudiensammlung 1
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Language
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English 3,902 Undetermined 706 German 229 French 15 Spanish 13 Portuguese 4 Italian 3 Polish 3 Hungarian 2 Russian 2 Norwegian 1
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Author
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Rime, Dagfinn 95 Hautsch, Nikolaus 56 Theissen, Erik 51 Menkhoff, Lukas 41 Podolskij, Mark 39 Reitz, Stefan 37 Taylor, Mark P. 35 Kyle, Albert S. 34 O'Hara, Maureen 32 Menkveld, Albert J. 30 Mykland, Per A. 30 Evans, Martin D. D. 29 Grammig, Joachim 29 Obižaeva, Anna 26 Osler, Carol 26 Aït-Sahalia, Yacine 23 Bibinger, Markus 23 Lyons, Richard K. 23 Nolte, Ingmar 23 Diebold, Francis X. 22 Christensen, Kim 21 Biais, Bruno 20 Foucault, Thierry 20 Frino, Alex 20 Horst, Ulrich 20 Cheung, Yin-Wong 19 Easley, David 19 Mizrach, Bruce 19 Ranaldo, Angelo 19 Bollerslev, Tim 18 Fleming, Michael J. 18 Melvin, Michael 18 Rindi, Barbara 18 Schwartz, Robert A. 18 Cont, Rama 17 Jong, Frank de 17 Mende, Alexander 17 Næs, Randi 17 Sarno, Lucio 17 Westerhoff, Frank H. 17
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Institution
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C.E.P.R. Discussion Papers 32 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 31 University <Nottingham> / Department of Economics 25 National Bureau of Economic Research 24 HAL 22 School of Economics and Management, University of Aarhus 21 Norges Bank 19 London School of Economics and Political Science 18 Wissenschaftliches Institut für Infrastruktur und Kommunikationsdienste <Honnef> 15 EconWPA 14 Center for Financial Studies 13 Institut für Volkswirtschaftslehre <Ilmenau> 12 Iowa State University of Science and Technology <Ames, Iowa> / Department of Economics 12 Department of Economics, Oxford University 11 Department of Economics, Rutgers University-New Brunswick 11 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 11 European Central Bank 10 Georgetown University, Department of Economics 10 Institute of Economic Research, Hitotsubashi University 10 Université Paris-Dauphine (Paris IX) 10 Econometric Society 9 Society for Computational Economics - SCE 9 Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover 8 Economics Group, Nuffield College, University of Oxford 7 Max-Planck-Institut für Ökonomik <Jena> / Abteilung Strategische Interaktion 7 Tinbergen Instituut 7 Universität <Kassel> / Fachgebiet Wirtschaftsinformatik 7 CESifo 6 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 6 Deutsche Bundesbank 6 HEC Paris (École des Hautes Études Commerciales) 6 Institut für Finanzmarktforschung, Wirtschafts- und Sozialwissenschaftliche Fakultät 6 Instituto Valenciano de Investigaciones Económicas (IVIE) 6 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 6 Bank for International Settlements (BIS) 5 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 5 European Commission / Directorate-General for Research 5 Faculteit Economie en Bedrijfskunde, Universiteit Gent 5 Handelshøgskolen, Universitetet i Stavanger 5 School of Economics and Political Science, Universität St. Gallen 5
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Published in...
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Journal of financial markets 95 Journal of banking & finance 74 Journal of financial economics 64 Journal of econometrics 58 Journal of empirical finance 46 Quantitative finance 46 Finance research letters 44 Pacific-Basin finance journal 42 Working Paper 40 Journal of international financial markets, institutions & money 36 Surface Review and Letters (SRL) 36 International review of financial analysis 33 CEPR Discussion Papers 32 The European journal of finance 30 Journal of international money and finance 29 MPRA Paper 29 Market microstructure and liquidity 28 Journal of economic dynamics & control 24 NBER working paper series 24 Physica A: Statistical Mechanics and its Applications 24 The financial review : the official publication of the Eastern Finance Association 23 The University of Nottingham / School of Economics - discussion papers 22 CREATES Research Papers 21 International journal of finance & economics : IJFE 21 London School of Economics and Political Science - Publications 21 The journal of futures markets 21 The review of financial studies 21 International review of economics & finance : IREF 20 Journal of financial econometrics : official journal of the Society for Financial Econometrics 20 CFS working paper series 19 Economic modelling 19 Journal of financial and quantitative analysis : JFQA 19 Review of quantitative finance and accounting 19 Working Paper / Norges Bank 19 Working paper / National Bureau of Economic Research, Inc. 19 International journal of theoretical and applied finance 18 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 18 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 17 NBER Working Paper 17 Research in international business and finance 17
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Source
All
ECONIS (ZBW) 3,401 RePEc 937 USB Cologne (business full texts) 247 EconStor 220 BASE 24 Other ZBW resources 20 USB Cologne (EcoSocSci) 19 ArchiDok 2
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Showing 61 - 70 of 4,870
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On the quadratic variation in limit order markets
Pani, Sudhanshu - In: Borsa Istanbul Review 24 (2024) 4, pp. 710-721
when observed at high resolution. Although the spread cannot be precisely estimated because of microstructure noise, the QV …
Persistent link: https://www.econbiz.de/10014635377
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Synergizing quantitative finance models and market microstructure analysis for enhanced algorithmic trading strategies
Mengshetti, Om; Gupta, Kanishk; Zade, Nilima; Kotecha, Ketan - In: Journal of open innovation : technology, market, and … 10 (2024) 3, pp. 1-11
In today's complex financial markets, "Algorithmic Trading" has become very important. The study delves into the amalgamation of four pivotal indicators - Relative Strength Index (RSI), Exponential Moving Average (EMA), Volume-Weighted Average Price (VWAP), and Moving Average...
Persistent link: https://www.econbiz.de/10015071775
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Reducing transaction costs using intraday forecasts of limit order book slopes
Ahabchane, Chahid; Cenesizoglu, Tolga; Grass, Gunnar; … - In: Journal of forecasting 43 (2024) 8, pp. 2982-3008
Persistent link: https://www.econbiz.de/10015110592
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Technology and automation in financial trading : a bibliometric review
Carè, Rosella; Cumming, Douglas J. - In: Research in international business and finance 71 (2024), pp. 1-28
Persistent link: https://www.econbiz.de/10015062171
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The determinants of limit order cancellations
Dahlström, Petter; Hagströmer, Björn; Nordén, Lars L. - In: The financial review : the official publication of the … 59 (2024) 1, pp. 181-201
Persistent link: https://www.econbiz.de/10014483152
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Pricing of interdealer derivatives in a limit order market
Kamate, Vidya; Kumar, Abhishek - 2024
Persistent link: https://www.econbiz.de/10014487019
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Reporting delays and the information content of off-market trades
Frino, Alex; Galati, Luca; Gerace, Dionigi - In: The journal of futures markets 42 (2022) 11, pp. 2053-2067
Persistent link: https://www.econbiz.de/10013465864
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Volatility Control Mechanisms : The International Experience and the Evidence from Hong Kong
Chan, Kalok; Lam, F. Y. Eric; Valente, Giorgio; Wu, Siyuan - 2022
This working paper was written by Kalok Chan (Chinese University of Hong Kong Business School), F.Y. Eric Lam (Independent Researcher)*, Giorgio Valente (Hong Kong Institute for Monetary and Financial Research) and Siyuan Wu (Chinese University of Hong Kong Business School).Trading venues have...
Persistent link: https://www.econbiz.de/10013492074
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Markets under Siege : How Differences in Political Beliefs can Move Financial Markets
Jha, Saumitra; Koudijs, Peter; Salgado, Marcos - 2022
Can differences in beliefs about politics, particularly the benefits of war and peace, move thick financial markets? During the Siege of Paris by the Prussian army (1870-71) and its aftermath, we document that the price of the French 3% sovereign bond (rente) differed persistently between the...
Persistent link: https://www.econbiz.de/10014239020
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Nonparametric estimation of large spot volatility matrices for high-frequency financial data
Bu, Ruijun; Li, Degui; Linton, Oliver; Wang, Hanchao - 2022 - This version: March 16, 2022
Persistent link: https://www.econbiz.de/10013263439
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