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Tick size and price reversal after order imbalance

Sirnes, Espen; Minh Thi Hong Dinh - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-13

pressure on the bid or ask side. This suggests that liquidity providers "overreact" to order imbalance (OIB) by initially … this behavior is most common. Specifically, it seems the tick size augments "OIB-reversal". However, if the tick size is …

Persistent link: https://www.econbiz.de/10012508868

Trading imbalance, liquidity and stock returns : evidence from Brazil

Pereira, Gustavo Magno Lopes; Camilo-da-Silva, Eduardo; … - In: Latin American business review 21 (2020) 2, pp. 173-195

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Futures mispricing, order imbalance, and short-selling constraints

Lin, Emily; Lee, Cheng F.; Wang, Kehluh - In: International review of economics & finance : IREF 25 (2013), pp. 408-423

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The market microstructure of the European climate exchange

Mizrach, Bruce Marshall; Otsubo, Yoichi - In: Journal of banking & finance 39 (2014), pp. 107-116

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Are trading imbalances indicative of private information?

Kim, Sukwon Thomas; Stoll, Hans R. - In: Journal of financial markets 20 (2014), pp. 151-174

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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

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The explanatory power of order imbalance measures

Johnson, B. Hardy, IV; Watson, Ethan D. - In: The quarterly journal of finance 8 (2018) 1, pp. 1-25

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Does options trading convey information on futures prices?

Lin, William; Tsai, Shih-Chuan; Zheng, Zhenlong; Qiao, Shuai - In: The North American journal of economics and finance : a … 39 (2017), pp. 182-196

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Order imbalance and selling aggression under a shorting ban : evidence from the UK

Sifat, Imtiaz Mohammad; Mohamad, Azhar - In: International review of financial analysis 42 (2015), pp. 368-379

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Baidu news coverage and its impacts on order imbalance and large-size trade of Chinese stocks

Shen, Dehua; Li, Xiao; Zhang, Wei - In: Finance research letters 23 (2017), pp. 210-216

Persistent link: https://www.econbiz.de/10011808400