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Search: subject_exact:"Microstructure of markets"
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Market microstructure
3,035
Marktmikrostruktur
3,035
Theorie
1,243
Theory
1,243
Börsenkurs
927
Share price
927
Wertpapierhandel
879
Securities trading
877
Volatilität
590
Volatility
589
Estimation
446
Schätzung
446
Bid-ask spread
425
Geld-Brief-Spanne
425
Aktienmarkt
369
Devisenmarkt
368
Foreign exchange market
368
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363
Börse
333
Bourse
328
Electronic trading
320
Elektronisches Handelssystem
320
Financial market
306
Finanzmarkt
306
USA
304
United States
304
Liquidity
300
Asymmetrische Information
274
Asymmetric information
272
Liquidität
263
Wechselkurs
261
Exchange rate
259
Handelsvolumen der Börse
258
Trading volume
258
Anlageverhalten
210
Behavioural finance
208
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208
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208
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199
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198
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2
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41
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41
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30
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30
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20
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5
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4
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1
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Rime, Dagfinn
42
Kyle, Albert S.
35
Hautsch, Nikolaus
34
Theissen, Erik
33
O'Hara, Maureen
30
Mykland, Per A.
24
Grammig, Joachim
23
Evans, Martin D. D.
21
Obizhaeva, Anna A.
21
Easley, David
18
Frino, Alex
18
Reitz, Stefan
18
Horst, Ulrich
17
Lyons, Richard K.
17
Menkhoff, Lukas
17
Taylor, Mark P.
17
Menkveld, Albert J.
16
Obižaeva, Anna
16
Podolskij, Mark
15
Biais, Bruno
14
Li, Yingying
14
Nolte, Ingmar
14
Rindi, Barbara
14
Zhang, Lan
14
Fleming, Michael J.
13
Li, Z. Merrick
13
Lillo, Fabrizio
13
Loretan, Mico
13
Aït-Sahalia, Yacine
12
Bollerslev, Tim
12
Cont, Rama
12
Gradojevic, Nikola
12
Jong, Frank de
12
Linton, Oliver
12
Lux, Thomas
12
Stoll, Hans R.
12
Westerhoff, Frank H.
12
Ait-Sahalia, Yacine
11
Bernhardt, Dan
11
Cheung, Yin-Wong
11
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National Bureau of Economic Research
21
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
4
Center for Economic Research <Tilburg>
3
Universitetet i Oslo / Økonomisk institutt
3
Bonn Graduate School of Economics
2
Centre for Analytical Finance <Århus>
2
Centre for Economic Policy Research
2
De Gruyter Oldenbourg
2
Eberhard Karls Universität Tübingen
2
Escola de Pós-Graduação em Economia <Rio de Janeiro>
2
Georgetown University / Economics Department
2
New York Stock Exchange
2
Svenska Handelshögskolan <Helsinki>
2
Universität Hannover / Wirtschaftswissenschaftliche Fakultät
2
Universität Mannheim
2
Bank für Internationalen Zahlungsausgleich / Währungs- und Wirtschaftsabteilung
1
Books on Demand GmbH <Norderstedt>
1
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
1
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
1
Econometrisch Instituut <Rotterdam>
1
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1
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1
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1
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1
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1
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1
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1
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1
Judge Institute of Management Studies
1
Loughborough University / Department of Economics
1
Nationalekonomiska Institutionen <Göteborg>
1
Nuffield College
1
Olsen & Associates <Zürich> / Research Group
1
Oxford Financial Research Centre
1
Princeton University / International Economics Section
1
Rodney L. White Center for Financial Research
1
Symposium on Market Microstructure <1990, Santa Barbara, Calif.>
1
Türkiye Cumhuriyet Merkez Bankası
1
Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
1
University of British Columbia / Finance Division
1
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Journal of financial markets
88
Journal of banking & finance
72
Journal of financial economics
59
Journal of econometrics
52
Quantitative finance
40
Finance research letters
39
Journal of international financial markets, institutions & money
39
Pacific-Basin finance journal
39
International review of financial analysis
36
Journal of empirical finance
35
Journal of international money and finance
28
Market microstructure and liquidity
25
The European journal of finance
25
International journal of finance & economics : IJFE
21
Journal of economic dynamics & control
21
NBER working paper series
21
The review of financial studies
21
The financial review : the official publication of the Eastern Finance Association
20
CFS working paper series
19
International review of economics & finance : IREF
19
Journal of financial and quantitative analysis : JFQA
19
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
Working paper / National Bureau of Economic Research, Inc.
18
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
17
Research in international business and finance
17
Research paper series / Swiss Finance Institute
17
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
17
The journal of futures markets
16
Economics letters
15
Working paper
15
Economic modelling
14
NBER Working Paper
14
Review of quantitative finance and accounting
14
Working paper / Norges Bank
14
Discussion paper / Centre for Economic Policy Research
13
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
13
International journal of theoretical and applied finance
13
The North American journal of economics and finance : a journal of financial economics studies
13
The journal of finance : the journal of the American Finance Association
13
SFB 649 discussion paper
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ECONIS (ZBW)
3,035
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1301
The effect of limit order flows at the best quotes on price changes
Hyun, ChongSeok
;
Park, Jeongsook
;
Lee, Kiseop
- In:
Risk and decision analysis
6
(
2015/2016
)
1
,
pp. 23-36
Persistent link: https://www.econbiz.de/10011573717
Saved in:
1302
Trade duration, informed trading, and option moneyness
Chung, Kee H.
;
Park, Seongkyu Gilbert
;
Ryu, Doojin
- In:
International review of economics & finance : IREF
44
(
2016
),
pp. 395-411
Persistent link: https://www.econbiz.de/10011626088
Saved in:
1303
High frequency trading and US stock market microstructure : a study of interactions between complexities, risks and strategies residing in U.S. equity market microstructure
Abrol, Samir
;
Chesir, Benjamin
;
Mehta, Nikhil
- In:
Financial markets, institutions & instruments
25
(
2016
)
2
,
pp. 107-165
Persistent link: https://www.econbiz.de/10011626557
Saved in:
1304
Does market microstructure matter for corporate finance? : theory and evidence on seasoned equity offering decisions
Cheung, William Ming Yan
;
Fung, Scott
;
Tam, Lewis
- In:
The quarterly review of economics and finance : journal …
60
(
2016
),
pp. 149-161
Persistent link: https://www.econbiz.de/10011627398
Saved in:
1305
Game, set and match : the favourite-long shot bias in tennis betting exchanges
Abinzano, Isabel
;
Muga, Luis
;
Santamaría Aquilué, Rafael
- In:
Applied economics letters
23
(
2016
)
7/9
,
pp. 605-608
Persistent link: https://www.econbiz.de/10011628022
Saved in:
1306
Liquidity commonality in individuals' order flows : new evidence from the Taiwanese stock market
Hsieh, Wen-liang Gideon
;
Lin, Yuan-yi
- In:
Asia-Pacific journal of financial studies
45
(
2016
)
4
,
pp. 606-645
Persistent link: https://www.econbiz.de/10011630765
Saved in:
1307
Revisiting the bid-ask spread via competitive search
Song, Garrison Hongyu
;
Chen, Chung
- In:
Banking and finance review
8
(
2016
)
1
,
pp. 111-135
Persistent link: https://www.econbiz.de/10011633776
Saved in:
1308
Why do carbon prices and price volatility change?
Ibrahim, Boulis Maher
;
Kalaitzoglou, Iordanis Angelos
- In:
Journal of banking & finance
63
(
2016
),
pp. 76-94
Persistent link: https://www.econbiz.de/10011634175
Saved in:
1309
Why do traders choose dark markets?
Garvey, Ryan
;
Huang, Tao
;
Wu, Fei
- In:
Journal of banking & finance
68
(
2016
),
pp. 12-28
Persistent link: https://www.econbiz.de/10011634726
Saved in:
1310
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:
1311
A hybrid approach to exchange rates : how do macro news and order flow affect exchange rate volatility?
Zhang, Guangfeng
;
Marsh, Ian
;
MacDonald, Ronald
- In:
Studies in economics and finance
33
(
2016
)
1
,
pp. 50-68
Persistent link: https://www.econbiz.de/10011718725
Saved in:
1312
Price clustering asymmetries in limit order flows
Box, Travis
;
Griffith, Todd
- In:
Financial management
45
(
2016
)
4
,
pp. 1041-1066
Persistent link: https://www.econbiz.de/10011718796
Saved in:
1313
Pricing errors and the geography of trade in the foreign exchange market
Piccotti, Louis R.
- In:
Journal of financial markets
28
(
2016
),
pp. 46-69
Persistent link: https://www.econbiz.de/10011722230
Saved in:
1314
Pre-trade transparency and informed trading : experimental evidence on undisclosed orders
Gozluklu, Arie E.
- In:
Journal of financial markets
28
(
2016
),
pp. 91-115
Persistent link: https://www.econbiz.de/10011722237
Saved in:
1315
Effect of rubber crumb on the microstructural properties of concrete
Akinyele, J. O.
;
Salim, R. W.
;
Kupolati, W. K.
- In:
African journal of science, technology, innovation & …
8
(
2016
)
5/6
,
pp. 467-474
Persistent link: https://www.econbiz.de/10011723676
Saved in:
1316
The long memory of order flow in the foreign exchange spot market
Gould, Martin
;
Porter, Mason A.
;
Howison, Sam
- In:
Market microstructure and liquidity
2
(
2016
)
1
,
pp. 1-40
Persistent link: https://www.econbiz.de/10011588230
Saved in:
1317
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:
1318
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:
1319
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:
1320
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:
1321
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:
1322
Liquidity commonality in order-driven trading : evidence from the Athens Stock Exchange
Anagnostidis, Panagiotis
;
Papachristou, George
; …
- In:
Applied economics
48
(
2016
)
22/24
,
pp. 2007-2021
Persistent link: https://www.econbiz.de/10011590187
Saved in:
1323
Flat-top realized Kernel estimation of quadratic covariation with nonsynchronous and noisy asset prices
Varneskov, Rasmus Tangsgaard
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011691138
Saved in:
1324
The economics of flash orders and trading
Harris, Lawrence E.
;
Namvar, Ethan
- In:
Journal of investment management : JOIM
14
(
2016
)
4
,
pp. 74-86
Persistent link: https://www.econbiz.de/10011691378
Saved in:
1325
What does the volatility risk premium say about liquidity provision and demand for hedging tail risk?
Fan, Jianqing
;
Imerman, Michael B.
;
Dai, Wei
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
4
,
pp. 519-535
Persistent link: https://www.econbiz.de/10011692397
Saved in:
1326
Phantom liquidity and high-frequency quoting
Blocher, Jesse
;
Cooper, Rick
;
Seddon, Jonathan
;
Van …
- In:
The journal of trading
11
(
2016
)
3
,
pp. 6-15
Persistent link: https://www.econbiz.de/10011697583
Saved in:
1327
When and where are informed traders? : what is their relationship with analysts in the price discovery process?
Blasco de las Heras, Natividad
;
Corredor, Pilar
- In:
The journal of behavioral finance : a publication of …
17
(
2016
)
4
,
pp. 352-364
Persistent link: https://www.econbiz.de/10011698954
Saved in:
1328
What does the financial market pricing do? : a simulation analysis with a view to systemic volatility, exuberance and vagary
Biondi, Yuri
;
Righi, Simone
- In:
Journal of economic interaction and coordination : JEIC
11
(
2016
)
2
,
pp. 175-203
Persistent link: https://www.econbiz.de/10011700962
Saved in:
1329
Jumps in equilibrium prices and asymmetric news in foreign exchange markets
El Ouadghiri, Imane
;
Uctum, Remzi
- In:
Economic modelling
54
(
2016
),
pp. 218-234
Persistent link: https://www.econbiz.de/10011642112
Saved in:
1330
Exploring price fluctuations in a double auction market
Ji, Mingjie
;
Li, Honggang
- In:
Computational economics
48
(
2016
)
2
,
pp. 189-209
Persistent link: https://www.econbiz.de/10011646728
Saved in:
1331
Commonality in liquidity : effects of monetary policy and macroeconomic announcements
Sensoy, Ahmet
- In:
Finance research letters
16
(
2016
),
pp. 125-131
Persistent link: https://www.econbiz.de/10011655140
Saved in:
1332
What do retail FX traders learn?
Hayley, Simon
;
Marsh, Ian
- In:
Journal of international money and finance
64
(
2016
),
pp. 16-38
Persistent link: https://www.econbiz.de/10011668366
Saved in:
1333
Investor sentiment, order submission, and investment performance on the Taiwan stock exchange
Hung, Pi-Hsia
- In:
Pacific-Basin finance journal
39
(
2016
),
pp. 124-140
Persistent link: https://www.econbiz.de/10011669228
Saved in:
1334
Do foreign institutions outperform in the Taiwan options market?
Lin, William
;
Tsai, Shih-Chuan
;
Chiu, Peter
- In:
The North American journal of economics and finance : a …
35
(
2016
),
pp. 101-115
Persistent link: https://www.econbiz.de/10011672304
Saved in:
1335
The probability of informed trading measured with price impact, price reversal, and volatility
Kitamura, Yoshihiro
- In:
Journal of international financial markets, …
42
(
2016
),
pp. 77-90
Persistent link: https://www.econbiz.de/10011673417
Saved in:
1336
An unbiased computation methodology for estimating the probability of informed trading (PIN)
Ersan, Oguz
;
Alıcı, Aslı
- In:
Journal of international financial markets, …
43
(
2016
),
pp. 74-94
Persistent link: https://www.econbiz.de/10011673499
Saved in:
1337
Rock around the clock : an agent-based model of low- and high-frequency trading
Leal, Sandrine Jacob
;
Napoletano, Mauro
;
Roventini, Andrea
- In:
Journal of evolutionary economics : JEE
26
(
2016
)
1
,
pp. 49-76
Persistent link: https://www.econbiz.de/10011606699
Saved in:
1338
Estimation of integrated covariances in the simultaneous presence of nonsynchronicity, microstructure noise and jumps
Koike, Yuta
- In:
Econometric theory
32
(
2016
)
3
,
pp. 533-611
Persistent link: https://www.econbiz.de/10011606815
Saved in:
1339
Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
Park, Sujin
;
Hong, Seok Young
;
Linton, Oliver
- In:
Journal of econometrics
191
(
2016
)
2
,
pp. 325-347
Persistent link: https://www.econbiz.de/10011610563
Saved in:
1340
Market microstructure invariance : empirical hypotheses
Kyle, Albert S.
;
Obižaeva, Anna
- In:
Econometrica : journal of the Econometric Society, an …
84
(
2016
)
4
,
pp. 1345-1404
Persistent link: https://www.econbiz.de/10011611092
Saved in:
1341
A practitioner's guide to market microstructure invariance
Kyle, Albert S.
;
Obižaeva, Anna
;
Kritzman, Mark
- In:
The journal of portfolio management : a publication of …
43
(
2016
)
1
,
pp. 43-53
Persistent link: https://www.econbiz.de/10011686160
Saved in:
1342
The relationship between the volatility of returns and the number of jumps in financial markets
Cartea, Álvaro
;
Karyampas, Dimitrios
- In:
Econometric reviews
35
(
2016
)
5/7
,
pp. 929-950
Persistent link: https://www.econbiz.de/10011590735
Saved in:
1343
Microstructures, financial reforms and informational efficiency in an emerging market
Arjoon, Vaalmikki
- In:
Research in international business and finance
36
(
2016
),
pp. 112-126
Persistent link: https://www.econbiz.de/10011594282
Saved in:
1344
Does the simple microstructure model tell the time of the FX intervention? A one day analysis of the Japanese FX intervention
Kitamura, Yoshihiro
- In:
Research in international business and finance
36
(
2016
),
pp. 436-446
Persistent link: https://www.econbiz.de/10011594524
Saved in:
1345
Does high frequency algorithmic trading matter for non-AT investors?
Kelejian, Harry H.
;
Mukerji, Purba
- In:
Research in international business and finance
37
(
2016
),
pp. 78-92
Persistent link: https://www.econbiz.de/10011595131
Saved in:
1346
Dealers and changing obligations : the case of stub quoting
Egginton, Jared F.
;
Van Ness, Bonnie F.
;
Van Ness, Robert A.
- In:
Review of quantitative finance and accounting
47
(
2016
)
4
,
pp. 919-941
Persistent link: https://www.econbiz.de/10011595757
Saved in:
1347
The economics of high-frequency trading : taking stock
Menkveld, Albert J.
- In:
Annual review of financial economics
8
(
2016
),
pp. 1-24
Persistent link: https://www.econbiz.de/10011595858
Saved in:
1348
Credit default swaps : past, present, and future
Augustin, Patrick
;
Subrahmanyam, Marti G.
;
Tang, Dragon …
- In:
Annual review of financial economics
8
(
2016
),
pp. 175-196
Persistent link: https://www.econbiz.de/10011596019
Saved in:
1349
Valuation efficiency of secondary markets for formerly illiquid assets : the case of German KG sip funds
Lauenstein, Philipp
;
Küster-Simić, André
;
Prigge, Stefan
- In:
Multinational finance journal : MF ; quarterly …
20
(
2016
)
2
,
pp. 127-179
Persistent link: https://www.econbiz.de/10012106897
Saved in:
1350
When "no news" is bad news : complexity and uncertainty in the global crisis of 1914
Fohlin, Caroline
-
2016
Persistent link: https://www.econbiz.de/10011758185
Saved in:
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