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  • Search: subject:"Mikrostrukturanalyse"
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Year of publication
Subject
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Market microstructure 3,444 Marktmikrostruktur 3,442 Theorie 1,587 Theory 1,552 Wertpapierhandel 1,223 Securities trading 1,201 Börsenkurs 1,094 Share price 1,072 Volatilität 667 Volatility 652 Bid-ask spread 461 Geld-Brief-Spanne 461 Elektronisches Handelssystem 445 Electronic trading 443 Schätzung 436 Estimation 422 Börsenhandel 399 Stock exchange trading 398 Liquidity 380 Devisenmarkt 377 Finanzmarkt 372 Foreign exchange market 363 Financial market 362 Aktienmarkt 360 Liquidität 354 Stock market 348 Asymmetrische Information 313 USA 310 Asymmetric information 309 United States 298 Marktliquidität 281 Handelsvolumen der Börse 279 Trading volume 279 Market liquidity 275 Wechselkurs 261 Anlageverhalten 252 Exchange rate 248 Behavioural finance 246 Noise Trading 230 Noise trading 221
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Online availability
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Free 1,268 Undetermined 877 CC license 50
Type of publication
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Article 1,928 Book / Working Paper 1,574 Journal 2
Subcategories
All
Article in journal 1,791 Working paper 731 Book section 126 Literature review 18 Proceedings 17 Review 9 Textbook 5 Handbook 2 Case study 1 Glossary included 1 Government document 1
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Language
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English 3,393 German 95 French 12 Italian 3 Polish 2 Spanish 2 Norwegian 1
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Author
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Rime, Dagfinn 44 Hautsch, Nikolaus 43 Theissen, Erik 43 Kyle, Albert S. 34 O'Hara, Maureen 30 Evans, Martin D. D. 26 Obižaeva, Anna 26 Mykland, Per A. 24 Reitz, Stefan 24 Taylor, Mark P. 24 Menkhoff, Lukas 23 Menkveld, Albert J. 22 Grammig, Joachim 21 Frino, Alex 19 Jong, Frank de 19 Lyons, Richard K. 19 Nolte, Ingmar 19 Biais, Bruno 18 Aït-Sahalia, Yacine 17 Fleming, Michael J. 17 Horst, Ulrich 17 Rindi, Barbara 17 Easley, David 16 Lux, Thomas 16 Podolskij, Mark 16 Westerhoff, Frank H. 16 Linton, Oliver 15 Osler, Carol 15 Schwartz, Robert A. 15 Li, Yingying 14 Mizrach, Bruce Marshall 14 Ryu, Doojin 14 Zhang, Lan 14 Bollerslev, Tim 13 Christensen, Kim 13 Cont, Rama 13 Gradojevic, Nikola 13 Li, Z. Merrick 13 Loretan, Mico 13 Melvin, Michael 13
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Institution
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National Bureau of Economic Research 25 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 6 European Commission / Directorate-General for Research 5 Europäische Kommission / Research Fund for Coal and Steel 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 European Communities. 2 Georgetown University / Economics Department 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 Centre de Recherches Métallurgiques (Centre national de recherches métallurgiques (Belgique)), (Belgium) 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 Ekonomiska forskningsinstitutet <Stockholm> 1 Europa-Universität Viadrina Frankfurt (Oder) 1 Federal Reserve Bank of New York 1 Federal Reserve Bank of St. Louis 1 Federal Reserve System / Division of Research and Statistics 1 Handelshøyskolen BI 1 Humboldt-Universität zu Berlin 1 Hydrogen sensitivity of different advanced high strength microstructures (HYDRAMICROS) 1 Institut de Recherches de la Sidérurgie Française (IRSID), (France) 1 Internationaler Währungsfonds / Monetary and Exchange Affairs Department 1 Judge Institute of Management Studies 1 Loughborough University / Department of Economics 1 Nationalekonomiska institutionen <Göteborg> 1 New York Stock Exchange 1 Nuffield College 1 Oxford Financial Research Centre 1 Princeton University / International Economics Section 1 Rodney L. White Center for Financial Research 1
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Published in...
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Journal of financial markets 95 Journal of banking & finance 72 Journal of financial economics 66 Journal of econometrics 57 Quantitative finance 52 Finance research letters 48 Journal of empirical finance 46 Pacific-Basin finance journal 42 International review of financial analysis 36 Journal of international financial markets, institutions & money 36 The European journal of finance 30 Journal of international money and finance 28 Market microstructure and liquidity 27 The journal of futures markets 26 NBER working paper series 25 Journal of economic dynamics & control 24 The financial review : the official publication of the Eastern Finance Association 24 International journal of finance & economics : IJFE 21 Journal of financial and quantitative analysis : JFQA 21 The review of financial studies 21 International review of economics & finance : IREF 20 Journal of financial econometrics : official journal of the Society for Financial Econometrics 20 CFS working paper series 19 Review of quantitative finance and accounting 19 Working paper / National Bureau of Economic Research, Inc. 19 Economic modelling 18 International journal of theoretical and applied finance 18 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 18 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 18 NBER Working Paper 17 Research paper series / Swiss Finance Institute 17 Applied mathematical finance 16 Economics letters 16 Research in international business and finance 16 The North American journal of economics and finance : a journal of financial economics studies 16 Working papers 16 Applied economics 15 Discussion paper / Tinbergen Institute 15 Management science : journal of the Institute for Operations Research and the Management Sciences 15 Staff reports / Federal Reserve Bank of New York 14
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Source
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ECONIS (ZBW) 3,442 EconStor 60 ArchiDok 1 USB Cologne (EcoSocSci) 1
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Price discovery with a richer market microstructure noise
Dias, Gustavo Fruet; Fernandes, Marcelo; Scherrer, Cristina - 2026 - This version: January 29, 2022
Persistent link: https://www.econbiz.de/10015615683
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Missing markets : microstructure and liquidity on the London Stock Exchange
Esteves, Rui Pedro; Mesevage, Gabriel Geisler - 2026
Persistent link: https://www.econbiz.de/10015579738
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Makers and takers : the economics of the Kalshi prediction market
Bürgi, Constantin; Deng, Wanying; Whelan, Karl - 2026 - Original version: September 2025, this version: January 2026
Since 2021, Kalshi has operated as the only federally licensed prediction market in the United States. Using transaction-level data on over 300,000 contracts, we provide the first systematic evidence on its pricing. Kalshi's contract prices are informative and improve in accuracy as markets...
Persistent link: https://www.econbiz.de/10015605098
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Makers and takers : the economics of the Kalshi prediction market
Bürgi, Constantin; Deng, Wanying; Whelan, Karl - 2025
Book / Working Paper
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Fuzzy representation of a limit order book as a measure of stock liquidity
Stereńczak, Szymon; Marszałek, Adam - 2026
In this paper, we seek to ascertain whether the recently developed ordered fuzzy number (OFN) representation of a limit order book (LOB) by Marszałek and Burczyński (2024) may serve as a measure of stock liquidity. In particular, we aim to test whether this measure contains similar or distinct...
Persistent link: https://www.econbiz.de/10015620968
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Tokenized gold in crypto markets : tracking accuracy and portfolio performance
Ashfaq, Muhammad; Pfeifer, Maximilian; Gürpinar, Tan; … - 2026
This paper examines the relationship between traditional gold (XAU) and its tokenized counterparts (PAXG and XAUT), providing an empirical assessment of how digital representations of real-world assets align with their underlying benchmarks. Using multi-year time series data, the study evaluates...
Persistent link: https://www.econbiz.de/10015628496
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ORAKULUM : an information-impact asset pricing model introducing a jump-diffusion framework for information-driven markets
Köntös, Zoltán; Rahimkulov, Ruszlan Megdetovics - 2026
Standard asset pricing models treat price dynamics as a stochastic process driven by undifferentiated random noise, rendering them agnostic about the primary engine of price discovery: the arrival of economically significant information. This paper introduces ORAKULUM, a structured...
Persistent link: https://www.econbiz.de/10015656182
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FX Illiquidity networks and vehicle currencies
Pantalfini, Matteo - 2026
Persistent link: https://www.econbiz.de/10015647638
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Fee structure and order flow informativeness in the cryptocurrency market
Bozzetto, Christian; Sifat, Imtiaz; Nahidi, Narmin - 2026
Persistent link: https://www.econbiz.de/10015651248
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Temporal dynamics of market microstructure in cryptocurrency perpetual futures : econometric evidence from centralized and decentralized exchanges
Zhivkov, Petar; Todorov, Venelin; Georgiev, Slavi - 2026
We apply rolling-window econometric methods, including GARCH(1,1) estimation, Bai-Perron structural break detection, CUSUM stability testing, and Granger causality analysis in bivariate VAR frameworks, to analyze the temporal dynamics of market integration in cryptocurrency perpetual futures,...
Persistent link: https://www.econbiz.de/10015652336
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Liquidity recovery dynamics following volatility shocks : evidence from an emerging equity market
Panigrahi, Ashok Kumar; Sharma, Anita; Sarda, Varun - 2026
Understanding how quickly trading liquidity recovers after volatility shocks is central to evaluating market resilience and trading costs in financial markets. The purpose of this study is to examine how quickly trading liquidity recovers after volatility-based stress shocks in an emerging...
Persistent link: https://www.econbiz.de/10015652372
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