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Bid-ask spread
43
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Theorie
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Chung, Kee H.
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Journal of financial economics
International journal of theoretical and applied finance
Journal of financial markets
48
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35
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34
Finance research letters
33
Journal of international financial markets, institutions & money
31
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28
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1
Conic CVA and DVA for option portfolios
Bakel, Sjoerd van
;
Borovkova, Svetlana
;
Michielon, Matteo
- In:
International journal of theoretical and applied finance
23
(
2020
)
5
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012496518
Saved in:
2
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
Saved in:
3
Closing auctions : Nasdaq versus NYSE
Jegadeesh, Narasimhan
;
Wu, Yanbin
- In:
Journal of financial economics
143
(
2022
)
3
,
pp. 1120-1139
Persistent link: https://www.econbiz.de/10013402150
Saved in:
4
Measuring institutional trading costs and the implications for finance research : the case of tick size reductions
Eaton, Gregory W.
;
Irvine, Paul J.
;
Liu, Tingting
- In:
Journal of financial economics
139
(
2021
)
3
,
pp. 832-851
Persistent link: https://www.econbiz.de/10012693827
Saved in:
5
Who provides liquidity, and when?
Li, Sida
;
Wang, Xin
;
Ye, Mao
- In:
Journal of financial economics
141
(
2021
)
3
,
pp. 968-980
Persistent link: https://www.econbiz.de/10012873103
Saved in:
6
Failing to forecast rare events
Bond, Philip
;
Dow, James
- In:
Journal of financial economics
142
(
2021
)
3
,
pp. 1001-1016
Persistent link: https://www.econbiz.de/10012873306
Saved in:
7
Bias in the effective bid-ask spread
Hagströmer, Björn
- In:
Journal of financial economics
142
(
2021
)
1
,
pp. 314-337
Persistent link: https://www.econbiz.de/10012650717
Saved in:
8
From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations
Michielon, Matteo
;
Khedher, Asma
;
Spreij, Peter
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012652634
Saved in:
9
The term structure of liquidity provision
Conrad, Jennifer S.
;
Wahal, Sunil
- In:
Journal of financial economics
136
(
2020
)
1
,
pp. 239-259
Persistent link: https://www.econbiz.de/10012545428
Saved in:
10
Tick size, liquidity for small and large orders, and price informativeness : evidence from the Tick Size Pilot Program
Chung, Kee H.
;
Lee, Albert J.
;
Rösch, Dominik
- In:
Journal of financial economics
136
(
2020
)
3
,
pp. 879-899
Persistent link: https://www.econbiz.de/10012545740
Saved in:
11
The price effects of liquidity shocks : a study of the SEC’s tick size experiment
Albuquerque, Rui
;
Song, Shiyun
;
Yao, Chen
- In:
Journal of financial economics
138
(
2020
)
3
,
pp. 700-724
Persistent link: https://www.econbiz.de/10012653132
Saved in:
12
Option prices and costly short-selling
Atmaz, Adem
;
Basak, Suleyman
- In:
Journal of financial economics
134
(
2019
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012166805
Saved in:
13
A mathematical approach to order book modeling
Abergel, Frédéric
;
Jedidi, Aymen
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
,
pp. 1-40
Persistent link: https://www.econbiz.de/10009784056
Saved in:
14
General semi-Markov model for limit order books
Sviščuk, Anatolij
;
Hofmeister, Tyler
;
Cera, Katharina
; …
- In:
International journal of theoretical and applied finance
20
(
2017
)
3
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011686928
Saved in:
15
Stationary distribution of the volume at the best quote in a poisson order book model
Toke, Ioane Muni
- In:
International journal of theoretical and applied finance
20
(
2017
)
6
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011734357
Saved in:
16
Optimal execution cost for liquidation through a limit order market
Chevalier, Etienne
;
Ly Vath, Vathana
;
Scotti, Simone
; …
- In:
International journal of theoretical and applied finance
19
(
2016
)
1
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011453884
Saved in:
17
Stock repurchases and liquidity
Hillert, Alexander
;
Maug, Ernst
;
Obernberger, Stefan
- In:
Journal of financial economics
119
(
2016
)
1
,
pp. 186-209
Persistent link: https://www.econbiz.de/10011589751
Saved in:
18
Does Dodd-Frank affect OTC transaction costs and liquidity? Evidence from real-time CDS trade reports
Loon, Yee Cheng
;
Zhong, Zhaodong
- In:
Journal of financial economics
119
(
2016
)
3
,
pp. 645-672
Persistent link: https://www.econbiz.de/10011590041
Saved in:
19
Discerning information from trade data
Easley, David
;
López de Prado, Marcos M.
;
O'Hara, Maureen
- In:
Journal of financial economics
120
(
2016
)
2
,
pp. 269-285
Persistent link: https://www.econbiz.de/10011590080
Saved in:
20
High frequency market microstructure
O'Hara, Maureen
- In:
Journal of financial economics
116
(
2015
)
2
,
pp. 267-270
Persistent link: https://www.econbiz.de/10011348519
Saved in:
21
Uncertainty, market structure, and liquidity
Chung, Kee H.
;
Chuwonganant, Chairat
- In:
Journal of financial economics
113
(
2014
)
3
,
pp. 476-499
Persistent link: https://www.econbiz.de/10010495807
Saved in:
22
Liquidity biases in asset pricing tests
Asparouhova, Elena
;
Bessembinder, Hendrik
;
Kalcheva, Ivalina
- In:
Journal of financial economics
96
(
2010
)
2
,
pp. 215-237
Persistent link: https://www.econbiz.de/10003979145
Saved in:
23
Markets as a counterparty : an introduction to conic finance
Madan, Dilip B.
;
Cherny, Alexander
- In:
International journal of theoretical and applied finance
13
(
2010
)
8
,
pp. 1149-1177
Persistent link: https://www.econbiz.de/10008906182
Saved in:
24
Liquidity and valuation in an uncertain world
Easley, David
;
O'Hara, Maureen
- In:
Journal of financial economics
97
(
2010
)
1
,
pp. 1-11
Persistent link: https://www.econbiz.de/10003991306
Saved in:
25
A market-clearing role for inefficiency on a limit order book
Large, Jeremy
- In:
Journal of financial economics
91
(
2009
)
1
,
pp. 102-117
Persistent link: https://www.econbiz.de/10003813190
Saved in:
26
Equilibrium conditions of forward exchange market expressed in a simple geometric structure
Chen, Jianguo
;
Blenman, Lloyd P.
- In:
International journal of theoretical and applied finance
8
(
2005
)
7
,
pp. 915-932
Persistent link: https://www.econbiz.de/10003206534
Saved in:
27
Liquidity of emerging markets
Lesmond, David A.
- In:
Journal of financial economics
77
(
2005
)
2
,
pp. 411-452
Persistent link: https://www.econbiz.de/10003052546
Saved in:
28
Tick size, NYSE rule 118, and ex-dividend day stock price behavior
Jakob, Keith
;
Ma, Tongshu
- In:
Journal of financial economics
72
(
2004
)
3
,
pp. 605-625
Persistent link: https://www.econbiz.de/10002089428
Saved in:
29
Modeling the bid/ask spread : measuring the inventory-holding premium
Bollen, Nicolas P. B.
;
Smith, Tom
;
Whaley, Robert E.
- In:
Journal of financial economics
72
(
2004
)
1
,
pp. 97-141
Persistent link: https://www.econbiz.de/10001997290
Saved in:
30
Order preferencing and market quality on NASDAQ before and after decimalization
Chung, Kee H.
;
Chuwonganant, Chairat
;
McCormick, D. Timothy
- In:
Journal of financial economics
71
(
2004
)
3
,
pp. 581-612
Persistent link: https://www.econbiz.de/10001966721
Saved in:
31
An explanation of non-equilibrium currency bid-ask spreads
Afful, Kofi B.
- In:
International journal of theoretical and applied finance
7
(
2004
)
5
,
pp. 531-540
Persistent link: https://www.econbiz.de/10002171462
Saved in:
32
Market power and feedback effects from hedging derivatives
DeMatos, João Amaro
;
DoRosário, João Sobral
- In:
International journal of theoretical and applied finance
5
(
2002
)
8
,
pp. 845-875
Persistent link: https://www.econbiz.de/10001763195
Saved in:
33
Understanding bid-ask spreads of derivatives under uncertain volatility and transaction costs
Ané, Thierry
;
Lacoste, Vincent
- In:
International journal of theoretical and applied finance
4
(
2001
)
3
,
pp. 467-489
Persistent link: https://www.econbiz.de/10001584363
Saved in:
34
Just another day in the inter-bank foreign exchange market
Chakrabarti, Rajesh
- In:
Journal of financial economics
56
(
2000
)
1
,
pp. 29-64
Persistent link: https://www.econbiz.de/10001468731
Saved in:
35
The costs and determinants of order aggressiveness
Griffiths, Mark D.
(
contributor
)
- In:
Journal of financial economics
56
(
2000
)
1
,
pp. 65-88
Persistent link: https://www.econbiz.de/10001468738
Saved in:
36
Limit orders and the bid-ask spread
Chung, Kee H.
;
VanNess, Bonnie F.
;
VanNess, Robert A.
- In:
Journal of financial economics
53
(
1999
)
2
,
pp. 255-287
Persistent link: https://www.econbiz.de/10001387836
Saved in:
37
Incoporating price-relevant information between quotes and trades : a new measure of the effective bid-ask spread
Kim, Sung-hun
;
Ogden, Joseph P.
- In:
International journal of theoretical and applied finance
2
(
1999
)
2
,
pp. 179-200
Persistent link: https://www.econbiz.de/10001394249
Saved in:
38
The initiation and withdrawal of odd-eighth quotes among Nasdaq stocks : an empirical analysis
Christie, William G.
;
Schultz, Paul H.
- In:
Journal of financial economics
52
(
1999
)
3
,
pp. 409-442
Persistent link: https://www.econbiz.de/10001394619
Saved in:
39
Short-term traders and liquidity : a test using Bombay Stock Exchange data
Berkman, Henk
- In:
Journal of financial economics
47
(
1998
)
3
,
pp. 339-355
Persistent link: https://www.econbiz.de/10001234959
Saved in:
40
Why do stock prices drop by less than the value of the dividend? : Evidence from a country without taxes
Frank, Murray Z.
- In:
Journal of financial economics
47
(
1998
)
2
,
pp. 161-188
Persistent link: https://www.econbiz.de/10001234965
Saved in:
41
Does order preferencing matter?
Bloomfield, Robert
- In:
Journal of financial economics
50
(
1998
)
1
,
pp. 3-37
Persistent link: https://www.econbiz.de/10001246652
Saved in:
42
Post-trade transparency on Nasdaq's national market system
Porter, David C.
- In:
Journal of financial economics
50
(
1998
)
2
,
pp. 231-252
Persistent link: https://www.econbiz.de/10001250557
Saved in:
43
An empirical analysis of NYSE specialist trading
Madhavan, Ananth Narayan
- In:
Journal of financial economics
48
(
1998
)
2
,
pp. 189-210
Persistent link: https://www.econbiz.de/10001238939
Saved in:
44
An empirical examination of amortized spread
Chalmers, John M. R.
- In:
Journal of financial economics
48
(
1998
)
2
,
pp. 159-188
Persistent link: https://www.econbiz.de/10001238940
Saved in:
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