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~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"European financial management : the journal of the European Financial Management Association"
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Bid-ask spread
23
Geld-Brief-Spanne
23
Theorie
12
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Securities trading
9
Wertpapierhandel
9
Market microstructure
7
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International journal of theoretical and applied finance
European financial management : the journal of the European Financial Management Association
Journal of financial markets
48
Journal of banking & finance
35
The journal of futures markets
34
Finance research letters
33
Journal of financial economics
32
Journal of international financial markets, institutions & money
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International review of financial analysis
28
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The financial review : the official publication of the Eastern Finance Association
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ECONIS (ZBW)
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1
Impact of MiFID II tick-size regime on equity markets : evidence from the LSE
Favaretto, Eros
;
Lepone, Andrew
;
Lepone, Grace
- In:
European financial management : the journal of the …
29
(
2023
)
1
,
pp. 109-149
Persistent link: https://www.econbiz.de/10014253884
Saved in:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
The ex-dividend day behaviour of REITs : tax or market microstructure effects
John, Kose
;
Mateti, Ravi S.
;
Nguyen, Duong
;
Vasudevan, …
- In:
European financial management : the journal of the …
22
(
2016
)
3
,
pp. 341-366
Persistent link: https://www.econbiz.de/10011711706
Saved in:
9
The evolution of informed liquidity provision : evidence from an order-driven market
Wee, Marvin
;
Yang, Wenling
- In:
European financial management : the journal of the …
22
(
2016
)
5
,
pp. 882-915
Persistent link: https://www.econbiz.de/10011713172
Saved in:
10
Liquidity dynamics in an electronic open limit order book : an event study approach
Gomber, Peter
;
Schweickert, Uwe
;
Theissen, Erik
- In:
European financial management : the journal of the …
21
(
2015
)
1
,
pp. 52-78
Persistent link: https://www.econbiz.de/10010516705
Saved in:
11
Direct and indirect effects of index ETFs on spot-futures pricing and liquidity : evidence from the CAC 40 index
Deville, Laurent
;
Gresse, Carole
;
Séverac, Béatrice de
- In:
European financial management : the journal of the …
20
(
2014
)
2
,
pp. 352-373
Persistent link: https://www.econbiz.de/10010350999
Saved in:
12
PIP transactions, price imporvement, informed trades and order excution quality
Khoury, Nabil T.
;
Perrakis, Stylianos
;
Savor, Marko
- In:
European financial management : the journal of the …
16
(
2010
)
2
,
pp. 211-228
Persistent link: https://www.econbiz.de/10003960949
Saved in:
13
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:
14
The components of the bid-ask spread : the case of the Athens Stock Exchange
Angelidis, Timotheos
;
Benos, Alexandros Vassiliou
- In:
European financial management : the journal of the …
15
(
2009
)
1
,
pp. 112-144
Persistent link: https://www.econbiz.de/10003805476
Saved in:
15
Competition between exchanges : Euronext versus Xetra
Kasch-Haroutounian, Maria
;
Theissen, Erik
- In:
European financial management : the journal of the …
15
(
2009
)
1
,
pp. 181-207
Persistent link: https://www.econbiz.de/10003805480
Saved in:
16
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:
17
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:
18
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:
19
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:
20
What determines IPO gross spreads in Europe?
Torstila, Sami
- In:
European financial management : the journal of the …
7
(
2001
)
4
,
pp. 523-541
Persistent link: https://www.econbiz.de/10001627613
Saved in:
21
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:
22
Risk aversion and the bid-ask spread
Roger, Patrick
;
Eeckhoudt, Louis R.
- In:
European financial management : the journal of the …
5
(
1999
)
3
,
pp. 323-340
Persistent link: https://www.econbiz.de/10001446771
Saved in:
23
Bid-ask bias in cumulated returns : an analytical approach
Datar, Vinay T.
- In:
European financial management : the journal of the …
4
(
1998
)
1
,
pp. 79-90
Persistent link: https://www.econbiz.de/10001244081
Saved in:
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