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Empirical models of the intraday process of price changes and liquidity : a transaction level approach

Gerhard, Frank (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001763098

The price of processing : information frictions and market efficiency in DeFi

Azar, Pablo; Olivas, Sergio; Sinha, Nish D. - 2025

This paper investigates the speed of price discovery when information becomes publicly available but requires costly processing to become common knowledge. We exploit the unique institutional setting of hacks on decentralized finance (DeFi) protocols. Public blockchain data provides the precise...

Persistent link: https://www.econbiz.de/10015396109

Invariance in buy-sell switching points

Bae, Kyoung-hun; Bondarenko, Oleg; Lee, Eun Jung; … - 2020

Persistent link: https://www.econbiz.de/10012494223

A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market

Li, Zhicheng; Chen, Xinyun; Xing, Haipeng - In: Economic modelling 118 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014229238

High-frequency cross-market trading : model free measurement and applications

Dobrev, Dobrislav; Schaumburg, Ernst - 2017 - This version: December 30, 2016

Persistent link: https://www.econbiz.de/10012805580

An analytical measure of market underreaction to earnings news

Chung, Kee H.; Kim, Oliver; Lim, Steve C.; Yang, Sean - In: International review of economics & finance : IREF 64 (2019), pp. 612-624

Persistent link: https://www.econbiz.de/10012372874

Topics in empirical market microstructure : measuring the informational content of order flow

Wünsche, Oliver - 2010

Persistent link: https://www.econbiz.de/10008669012

Jump variation estimation with noisy high frequency financial data via wavelets

Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component …-step procedure with detection and estimation. In Step 1, we detect the jump locations by performing wavelet transformation on the …

Persistent link: https://www.econbiz.de/10011568279

On the Dark Side of the Market : Identifying and Analyzing Hidden Order Placements

Hautsch, Nikolaus - 2012

Trading under limited pre-trade transparency becomes increasingly popular on financial markets. We provide first evidence on traders' use of (completely) hidden orders which might be placed even inside of the (displayed) bid-ask spread. Employing TotalView-ITCH data on order messages at NASDAQ,...

Persistent link: https://www.econbiz.de/10013110796

The role of trading intensity estimating the implicit bid-ask spread and determining transitory effects

Ben Sita, Bernard; Westerholm, P. Joakim - In: International review of financial analysis 20 (2011) 5, pp. 306-310

Persistent link: https://www.econbiz.de/10009492103