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Bid-ask spread
60
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60
Securities trading
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25
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International journal of theoretical and applied finance
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35
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ECONIS (ZBW)
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1
Private information disclosure in the secondary loan market and its impact on equity market trading costs
Saunders, Anthony
;
Shao, Pei
;
Xiao, Yuchao
- In:
Journal of financial markets
67
(
2024
),
pp. 1-26
Persistent link: https://www.econbiz.de/10014491069
Saved in:
2
Does better liquidity for large orders attract institutional investors and analysts? : evidence from the Tick Size Pilot Program
Deng, Mengdie
;
Lin, Tse-Chun
;
Zhou, Jiayu
- In:
Journal of financial markets
67
(
2024
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014491072
Saved in:
3
Daily short selling around reverse stock splits
Blau, Benjamin
;
Cox, Justin S.
;
Griffith, Todd
;
Voges, Ryan
- In:
Journal of financial markets
65
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014466318
Saved in:
4
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:
5
Inferring trade directions in fast markets
Jurkatis, Simon Willi
- In:
Journal of financial markets
58
(
2022
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013254020
Saved in:
6
Liquidity components : commonality in liquidity, underreaction, and equity returns
Ince, Baris
- In:
Journal of financial markets
60
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013397975
Saved in:
7
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:
8
ETFs' high overnight returns : the early liquidity provider gets the worm
Lachance, Marie-Eve
- In:
Journal of financial markets
52
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013266269
Saved in:
9
Broker routing decisions in limit order markets
Cimon, David A.
- In:
Journal of financial markets
54
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013273153
Saved in:
10
Expected issuance fees and market liquidity
Buis, Boyd
;
Pieterse-Bloem, Mary
;
Verschoor, Willem F. C.
; …
- In:
Journal of financial markets
48
(
2020
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012631803
Saved in:
11
Microstructure invariance in U.S. stock market trades
Kyle, Albert S.
;
Obižaeva, Anna
;
Tuzun, Tugkan
- In:
Journal of financial markets
49
(
2020
),
pp. 1-36
Persistent link: https://www.econbiz.de/10013531193
Saved in:
12
Jumps in option prices and their determinants : real-time evidence from the E-mini S&P 500 options market
Kapetanios, George
;
Konstantinidi, Eirini
;
Neumann, Michael
- In:
Journal of financial markets
46
(
2019
),
pp. 1-26
Persistent link: https://www.econbiz.de/10012317888
Saved in:
13
Bid- and ask-side liquidity in the NYSE limit order book
Cenesizoglu, Tolga
;
Grass, Gunnar
- In:
Journal of financial markets
38
(
2018
),
pp. 14-38
Persistent link: https://www.econbiz.de/10012001137
Saved in:
14
The maximum bid-ask spread
Blau, Benjamin
;
Griffith, Todd
;
Whitby, Ryan J.
- In:
Journal of financial markets
41
(
2018
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012001724
Saved in:
15
The microstructure of a U.S. Treasury ECN : the BrokerTec platform
Fleming, Michael J.
;
Mizrach, Bruce Marshall
;
Nguyen, …
- In:
Journal of financial markets
40
(
2018
),
pp. 2-22
Persistent link: https://www.econbiz.de/10012001820
Saved in:
16
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:
17
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:
18
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:
19
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:
20
Options market makers' hedging and informed trading : theory and evidence
Huh, Sahn-Wook
;
Lin, Hao
;
Mello, António S.
- In:
Journal of financial markets
23
(
2015
),
pp. 26-58
Persistent link: https://www.econbiz.de/10011377487
Saved in:
21
The relative contribution of ask and bid quotes to price discovery
Pascual, Roberto
;
Pascual-Fuster, Bartolomé
- In:
Journal of financial markets
20
(
2014
),
pp. 129-150
Persistent link: https://www.econbiz.de/10010442386
Saved in:
22
Waiting costs and limit order book liquidity : evidence from the ex-dividend deadline in Australia
Ainsworth, Andrew
;
Lee, Adrian D.
- In:
Journal of financial markets
20
(
2014
),
pp. 101-128
Persistent link: https://www.econbiz.de/10010442388
Saved in:
23
Hedging costs, liquidity, and inventory management : the evidence from option market makers
Wu, Wei-shao
;
Liu, Yu-jane
;
Lee, Yi-tsung
;
Fok, Robert C. W.
- In:
Journal of financial markets
18
(
2014
),
pp. 25-48
Persistent link: https://www.econbiz.de/10010442502
Saved in:
24
A simple approximation of intraday spreads using daily data
Chung, Kee H.
;
Zhang, Hao
- In:
Journal of financial markets
17
(
2014
),
pp. 94-120
Persistent link: https://www.econbiz.de/10010437266
Saved in:
25
Very fast money : high-frequency trading on the NASDAQ
Carrion, Allen
- In:
Journal of financial markets
16
(
2013
)
4
,
pp. 680-711
Persistent link: https://www.econbiz.de/10010242212
Saved in:
26
The information content of a limit order book : the case of an FX market
Kozhan, Roman
;
Salmon, Mark H.
- In:
Journal of financial markets
15
(
2012
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10009356615
Saved in:
27
Automation, speed, and stock market quality : the NYSE's Hybrid
Hendershott, Terrence
;
Moulton, Pamela C.
- In:
Journal of financial markets
14
(
2011
)
4
,
pp. 568-604
Persistent link: https://www.econbiz.de/10009260950
Saved in:
28
Local market makers, liquidity and market quality
Kedia, Simi
;
Zhou, Xing
- In:
Journal of financial markets
14
(
2011
)
4
,
pp. 540-567
Persistent link: https://www.econbiz.de/10009260961
Saved in:
29
Transparency matters : price formation in the presence of order preferencing
Lescourret, Laurence
;
Robert, Christian Yann
- In:
Journal of financial markets
14
(
2011
)
2
,
pp. 227-258
Persistent link: https://www.econbiz.de/10009266998
Saved in:
30
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:
31
The 2000 presidential election and the information cost of sensitive versus non-sensitive S&P 500 stocks
He, Yan
;
Lin, Hai
;
Wu, Chunchi
;
Dufrene, Uric B.
- In:
Journal of financial markets
12
(
2009
)
1
,
pp. 54-86
Persistent link: https://www.econbiz.de/10003803103
Saved in:
32
Optimal execution of open-market stock repurchase programs
Oded, Jacob
- In:
Journal of financial markets
12
(
2009
)
4
,
pp. 832-869
Persistent link: https://www.econbiz.de/10003902772
Saved in:
33
Price, trade size, and information revelation in multi-period securities markets
Ozsoylev, Han N.
;
Takayama, Shino
- In:
Journal of financial markets
13
(
2010
)
1
,
pp. 49-76
Persistent link: https://www.econbiz.de/10003935476
Saved in:
34
Anonymity, liquidity and fragmentation
Comerton-Forde, Carole
;
Tang, Kar Mei
- In:
Journal of financial markets
12
(
2009
)
3
,
pp. 337-367
Persistent link: https://www.econbiz.de/10003873550
Saved in:
35
Measures of implicit trading costs and buy-sell asymmetry
Hu, Gang
- In:
Journal of financial markets
12
(
2009
)
3
,
pp. 418-437
Persistent link: https://www.econbiz.de/10003873555
Saved in:
36
Using matched samples to test for differences in trade execution costs
Davies, Ryan J.
;
Kim, Sang Soo
- In:
Journal of financial markets
12
(
2009
)
2
,
pp. 173-202
Persistent link: https://www.econbiz.de/10003848736
Saved in:
37
Modelling the buy and sell intensity in a limit order book market
Hall, Anthony D.
;
Hautsch, Nikolaus
- In:
Journal of financial markets
10
(
2007
)
3
,
pp. 249-286
Persistent link: https://www.econbiz.de/10003612991
Saved in:
38
The value of the specialist : empirical evidence from the CBOE
Anand, Amber
;
Weaver, Daniel G.
- In:
Journal of financial markets
9
(
2006
)
2
,
pp. 100-118
Persistent link: https://www.econbiz.de/10003326677
Saved in:
39
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:
40
Did decimalization hurt institutional investors?
Chakravarty, Sugato
;
Panchapagesan, Venkatesh
;
Wood, …
- In:
Journal of financial markets
8
(
2005
)
4
,
pp. 400-420
Persistent link: https://www.econbiz.de/10003177617
Saved in:
41
Impacts of trades in an error-correction model of quote prices
Engle, Robert F.
;
Patton, Andrew J.
- In:
Journal of financial markets
7
(
2004
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10001868857
Saved in:
42
Order aggressiveness in limit order book markets
Ranaldo, Angelo
- In:
Journal of financial markets
7
(
2004
)
1
,
pp. 53-74
Persistent link: https://www.econbiz.de/10001869003
Saved in:
43
The market microstructure and relative performance of Taiwan stock index futures : a comparison of the Singapore exchange and the Taiwan futures exchange
Huang, Yu chuan
- In:
Journal of financial markets
7
(
2004
)
3
,
pp. 335-350
Persistent link: https://www.econbiz.de/10002019394
Saved in:
44
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:
45
Issues in assessing trade execution costs
Bessembinder, Hendrik
- In:
Journal of financial markets
6
(
2003
)
3
,
pp. 233-257
Persistent link: https://www.econbiz.de/10001757893
Saved in:
46
Evaluation of the biases in execution cost estimation using trade and quote data
Peterson, Mark A.
;
Sirri, Erik R.
- In:
Journal of financial markets
6
(
2003
)
3
,
pp. 259-280
Persistent link: https://www.econbiz.de/10001757897
Saved in:
47
NYSE order flow, spreads, and information
Werner, Ingrid M.
- In:
Journal of financial markets
6
(
2003
)
3
,
pp. 309-335
Persistent link: https://www.econbiz.de/10001757904
Saved in:
48
Quote setting and price formation in an order driven market
Handa, Puneet
;
Schwartz, Robert A.
;
Tiwari, Ashish
- In:
Journal of financial markets
6
(
2003
)
4
,
pp. 461-489
Persistent link: https://www.econbiz.de/10001780127
Saved in:
49
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:
50
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
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