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Easley, David - 2019

We demonstrate how a machine learning algorithm can be applied to predict and explain modern market microstructure phenomena. We investigate the efficacy of various microstructure measures and show that they continue to provide insights into price dynamics in current complex markets. Some...

Persistent link: https://www.econbiz.de/10012891443

High-frequency trading : new realities for traders, markets and regulators

Easley, David (ed.); López de Prado, Marcos M. (ed.); … - 2013

The volume clock : insights into the high-frequency paradigm / David Easley, Marcos López de Prado, Maureen O'Hara -- Execution strategies in equity markets / Michael G. Sotiropoulos -- Execution strategies in fixed income markets / Robert Almgren -- High-frequency trading in FX markets / Anton...

Persistent link: https://www.econbiz.de/10013550658

Flow toxicity and liquidity in a high-frequency world

Easley, David; López de Prado, Marcos M.; O'Hara, Maureen - In: The review of financial studies 25 (2012) 5, pp. 1457-1493

Persistent link: https://www.econbiz.de/10009536413

VPIN and the flash crash

Andersen, Torben; Bondarenko, Oleg; O'Hara, Maureen - In: Journal of financial markets 17 (2014), pp. 1-46

Persistent link: https://www.econbiz.de/10010436257

Microstructure in the machine age

Easley, David; López de Prado, Marcos M.; O'Hara, Maureen - In: The review of financial studies 34 (2021) 7, pp. 3316-3363

Persistent link: https://www.econbiz.de/10012546383

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

VPIN and the Flash Crash : a rejoinder

Easley, David; López de Prado, Marcos M.; O'Hara, Maureen - In: Journal of financial markets 17 (2014), pp. 47-52

Persistent link: https://www.econbiz.de/10010436247

High-frequency trading and its impact on markets

O'Hara, Maureen - In: Financial analysts' journal : FAJ 70 (2014) 3, pp. 18-27

Persistent link: https://www.econbiz.de/10010407394

High frequency market microstructure

O'Hara, Maureen - In: Journal of financial economics 116 (2015) 2, pp. 267-270

Persistent link: https://www.econbiz.de/10011348519

The "make or take" decision in an electronic market : evidence on the evolution of liquidity

Bloomfield, Robert; O'Hara, Maureen; Saar, Gideon - In: Journal of financial economics 75 (2005) 1, pp. 165-199

Persistent link: https://www.econbiz.de/10002516029