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Point and density prediction of intra-day volume using Bayesian linear ACV models : evidence from the Polish stock market
Huptas, Roman - In: Quantitative finance 18 (2018) 5, pp. 749-760
Persistent link: https://www.econbiz.de/10011907915
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Reflecting on the VPIN dispute
Andersen, Torben; Bondarenko, Oleg - In: Journal of financial markets 17 (2014), pp. 53-64
Persistent link: https://www.econbiz.de/10010436245
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Volatility of order imbalance of institutional traders and expected asset returns : evidence from Taiwan
Huang, Hong-Gia; Tsai, Wei-Che; Weng, Pei-Shih; Wu, … - In: Journal of financial markets 52 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10013266271
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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
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Market transparency, market quality, and sunshine trading
Frutos, Maria Angeles de; Manzano Tovar, Carolina - In: Journal of financial markets 17 (2014), pp. 174-198
Persistent link: https://www.econbiz.de/10010437251
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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
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The informativeness of domestic and foreign investors' stock trades : evidence from the perfectly segmented Chinese market
Chan, Kalok; Menkveld, Albert J.; Zhishu Yang - In: Journal of financial markets 10 (2007) 4, pp. 391-415
Persistent link: https://www.econbiz.de/10003613087
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The impact of preferencing on execution quality
He, Chen; Odders-White, Elizabeth R.; Ready, Mark J. - In: Journal of financial markets 9 (2006) 3, pp. 246-273
Persistent link: https://www.econbiz.de/10003357662
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On the importance of timing specifications in market microstructure research
Henker, Thomas; Wang, Jian-xin - In: Journal of financial markets 9 (2006) 2, pp. 162-179
Persistent link: https://www.econbiz.de/10003326696
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Cross-impact of order flow imbalance in equity markets
Cont, Rama; Cucuringu, Mihai; Zhang, Chao - In: Quantitative finance 23 (2023) 10, pp. 1373-1393
Persistent link: https://www.econbiz.de/10014419165