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Review of quantitative finance and accounting
Market microstructure and liquidity
The journal of trading
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25
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1
Intraday algorithmic trading strategies for cryptocurrencies
Cohen, Gil
- In:
Review of quantitative finance and accounting
61
(
2023
)
1
,
pp. 395-409
Persistent link: https://www.econbiz.de/10014342035
Saved in:
2
Trade-time clustering
Black, Jeffrey R.
;
Jain, Pankaj K.
;
Sun, Wei
- In:
Review of quantitative finance and accounting
60
(
2023
)
3
,
pp. 1209-1242
Persistent link: https://www.econbiz.de/10014291794
Saved in:
3
Optimizing candlesticks patterns for Bitcoin's trading systems
Cohen, Gil
- In:
Review of quantitative finance and accounting
57
(
2021
)
3
,
pp. 1155-1167
Persistent link: https://www.econbiz.de/10012620057
Saved in:
4
Nash equilibrium for risk-averse investors in a market impact game with transient price impact
Luo, Xiangge
;
Schied, Alexander
- In:
Market microstructure and liquidity
5
(
2019
)
1/4
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012819919
Saved in:
5
Order exposure and liquidity coordination : does hidden liquidity harm price efficiency?
Cebiroglu, Gökhan
;
Hautsch, Nikolaus
;
Horst, Ulrich
- In:
Market microstructure and liquidity
5
(
2019
)
1/4
,
pp. 1-52
Persistent link: https://www.econbiz.de/10012819933
Saved in:
6
Limit order book (LOB) shape modeling in presence of heterogeneously informed market participants
Drame, Mouhamad
- In:
Market microstructure and liquidity
5
(
2019
)
1/4
,
pp. 1-35
Persistent link: https://www.econbiz.de/10012820075
Saved in:
7
Convergence of trading strategies in continuous double auction markets with boundedly-rational networked traders
Zhang, Junhuan
;
McBurney, Peter
;
Musial, Katarzyna
- In:
Review of quantitative finance and accounting
50
(
2018
)
1
,
pp. 301-352
Persistent link: https://www.econbiz.de/10011979118
Saved in:
8
One size fits all? : high frequency trading, tick size changes and the implications for exchanges : market quality and market structure considerations
Verousis, Thanos
;
Perotti, Pietro
;
Sermpinis, Georgios
- In:
Review of quantitative finance and accounting
50
(
2018
)
2
,
pp. 353-392
Persistent link: https://www.econbiz.de/10011979139
Saved in:
9
Trade Intensity and Liquidity
Brigida, Matt
;
Pratt, William
- In:
Market microstructure and liquidity
4
(
2018
)
1/2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012256399
Saved in:
10
Information and inventories in high-frequency trading
Muhle-Karbe, Johannes
;
Webster, Kevin
- In:
Market microstructure and liquidity
3
(
2017
)
2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011923306
Saved in:
11
The behavior of high-frequency traders under different market stress scenarios
Megarbane, Nicolas
;
Saliba, Pamela
;
Lehalle, Charles-Albert
- In:
Market microstructure and liquidity
3
(
2017
)
3/4
,
pp. 1-54
Persistent link: https://www.econbiz.de/10011988891
Saved in:
12
Optimal execution in a multiplayer model of transient price impact
Strehle, Elias
- In:
Market microstructure and liquidity
3
(
2017
)
3/4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011988893
Saved in:
13
Market impact : a systematic study of limit orders
Said, Emilio
;
Bel Hadj Ayed, Ahmed
;
Husson, Alexandre
; …
- In:
Market microstructure and liquidity
3
(
2017
)
3/4
,
pp. 1-33
Persistent link: https://www.econbiz.de/10011988894
Saved in:
14
High-frequency trading meets online learning
Fernandez-Tapia, Joaquin
- In:
Market microstructure and liquidity
2
(
2016
)
1
,
pp. 1-40
Persistent link: https://www.econbiz.de/10011588235
Saved in:
15
High frequency asymptotics for the limit order book
Lakner, Peter
;
Reed, Josh
;
Stoikov, Sasha
- In:
Market microstructure and liquidity
2
(
2016
)
1
,
pp. 1-83
Persistent link: https://www.econbiz.de/10011588237
Saved in:
16
Queue imbalance as a one-tick-ahead price predictor in a limit order book
Gould, Martin
;
Bonart, Julius
- In:
Market microstructure and liquidity
2
(
2016
)
2
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011588243
Saved in:
17
Reconstruction of order flows using aggregated data
Toke, Ioane Muni
- In:
Market microstructure and liquidity
2
(
2016
)
2
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011588245
Saved in:
18
Extension and calibration of a Hawkes-based optimal execution model
Alfonsi, Aurélien
;
Blanc, Pierre
- In:
Market microstructure and liquidity
2
(
2016
)
2
,
pp. 1-55
Persistent link: https://www.econbiz.de/10011588251
Saved in:
19
The behavior of dealers and clients on the European corporate bond market : the case of multi-dealer-to-client platforms
Fermanian, Jean-David
;
Guéant, Olivier
;
Pu, Jiang
- In:
Market microstructure and liquidity
2
(
2016
)
3/4
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011715778
Saved in:
20
Are high-frequency traders anticipating the order flow? : cross-venue evidence from the UK market
Aquilina, Matteo
;
Ysusi, Carla
- In:
Market microstructure and liquidity
2
(
2016
)
3/4
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011715788
Saved in:
21
A PIN per day shows what news convey : the intraday probability of informed trading
Pöppe, Thomas
;
Aitken, Michael J.
;
Schiereck, Dirk
; …
- In:
Review of quantitative finance and accounting
47
(
2016
)
4
,
pp. 1187-1220
Persistent link: https://www.econbiz.de/10011596226
Saved in:
22
Dancing in the dark : post-trade anonymity, liquidity and informed trading
Hachmeister, Alexandra
;
Schiereck, Dirk
- In:
Review of quantitative finance and accounting
34
(
2010
)
2
,
pp. 145-177
Persistent link: https://www.econbiz.de/10003965069
Saved in:
23
With or without you : market quality of floor trading when screen trading closes early
Schiereck, Dirk
;
Voigt, Christian
- In:
Review of quantitative finance and accounting
34
(
2010
)
2
,
pp. 179-197
Persistent link: https://www.econbiz.de/10003965075
Saved in:
24
NYSE execution quality subsequent to migration to hybrid
Gutierrez, Jose A.
;
Tse, Yiuman
- In:
Review of quantitative finance and accounting
33
(
2009
)
1
,
pp. 59-81
Persistent link: https://www.econbiz.de/10003850673
Saved in:
25
Can Island provide liquidity and price discovery in the dark?
Tse, Yiuman
;
Hackard, James C.
- In:
Review of quantitative finance and accounting
23
(
2004
)
2
,
pp. 149-166
Persistent link: https://www.econbiz.de/10002257630
Saved in:
26
The stock price-volume linkage on the Toronto Stock Exchange : before and after automation
Ciner, Cetin
- In:
Review of quantitative finance and accounting
19
(
2002
)
4
,
pp. 335-349
Persistent link: https://www.econbiz.de/10001744105
Saved in:
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