Search Results - subject:"order imbalances"

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Trade co-occurrence, trade flow decomposition and conditional order imbalance in equity markets

Lu, Yutong; Reinert, Gesine; Cucuringu, Mihai - In: Quantitative finance 24 (2024) 6, pp. 779-809

Persistent link: https://www.econbiz.de/10015050797

How to gauge investor behavior? : a comparison of online investor sentiment measures

Ballinari, Daniele; Behrendt, Simon - In: Digital finance : smart data analytics, investment … 3 (2021) 2, pp. 169-204

Persistent link: https://www.econbiz.de/10012615283

Informed trading before rights issues

Koenig-Matsoukis, Laure - Université Paris-Dauphine (Paris IX) - 2012

This paper provides evidence of informed trading before and after a rights issue. First, we find significant net buying and selling activity by informed traders prior to the announcement date leading to a temporary price pressure effect. Even though those results are consistent with the presence...

Persistent link: https://www.econbiz.de/10010707329

Non-fundamental Information and Market-makers' Behavior during the NASDAQ Preopening Session

Lescourret, Laurence - HAL - 2012

large liquidity shocks or days following larger order imbalances, but not on days of strong informational asymmetry about … for other intermediaries, namely institutional brokers providing sell-side coverage. I also nd that daily order imbalances …

Persistent link: https://www.econbiz.de/10010602578

Non-Fundamental Information and Market-Makers' Behavior during the NASDAQ Preopening Session

Lescourret, Laurence - ESSEC Business School - 2012

Persistent link: https://www.econbiz.de/10010604054