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SOES trading and market volatility
Battalio, Robert H. - In: Journal of financial and quantitative analysis : JFQA 32 (1997) 2, pp. 225-238
Persistent link: https://www.econbiz.de/10001224463
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High-frequency quoting : short-term volatility in bids and offers
Hasbrouck, Joel - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 2, pp. 613-641
Persistent link: https://www.econbiz.de/10011929491
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Factor structure in commodity futures return and volatility
Christoffersen, Peter F.; Lunde, Asger; Olesen, Kasper V. - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 3, pp. 1083-1115
Persistent link: https://www.econbiz.de/10012139386
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When bigger is better : the impact of a tiny tick size on undercutting behavior
Dyhrberg, Anne Haubo; Foley, Sean; Svec, Jiri - In: Journal of financial and quantitative analysis : JFQA 58 (2023) 6, pp. 2387-2416
Persistent link: https://www.econbiz.de/10014365197
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Interactions among high-frequency traders
Benos, Evangelos; Brugler, James; Hjalmarsson, Erik; … - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 4, pp. 1375-1402
Persistent link: https://www.econbiz.de/10011927918
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Price continuity rules and insider trading
Dutta, Prajit K. - In: Journal of financial and quantitative analysis : JFQA 30 (1995) 2, pp. 199-221
Persistent link: https://www.econbiz.de/10001217176
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A market microstructure explanation for predictable variations in stock returns following large price changes
Park, Jinwoo - In: Journal of financial and quantitative analysis : JFQA 30 (1995) 2, pp. 241-256
Persistent link: https://www.econbiz.de/10001218106
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On estimating the expected rate of return in diffusion price models with application to estimating the expected return on the market
Goldenberg, David Harold - In: Journal of financial and quantitative analysis : JFQA 31 (1996) 4, pp. 605-631
Persistent link: https://www.econbiz.de/10001219186
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The market for corporate control as a limit to short arbitrage
Meneghetti, Costanza; Williams, Ryan; Xiao, Steven Chong - In: Journal of financial and quantitative analysis : JFQA 58 (2023) 5, pp. 2162-2189
Persistent link: https://www.econbiz.de/10014365175
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DRIPs and the dividend pay date effect
Berkman, Henk; Koch, Paul Douglas - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 4, pp. 1765-1795
Persistent link: https://www.econbiz.de/10011928408