Similar Search Results

Liquidity cost of market orders in the Taiwan Stock Market : a study based on an order-driven agent-based artificial stock market

Huang, Yi-ping; Chen, Shu-Heng; Hung, Ming-chin; Yu, Tina - In: International review of financial analysis 23 (2012), pp. 72-80

Persistent link: https://www.econbiz.de/10009690114

Market microstructure: a self-organizing map approach to investigate behavior dynamics under an evolutionary environment

Kampouridis, Michael; Chen, Shu-Heng; Tsang, Edward P. K. - In: Natural computing in computational finance : volume 4, (pp. 181-197). 2011

Persistent link: https://www.econbiz.de/10009423545

Limit order book transparency and order aggressiveness at the closing call : lessons from the TWSE 2012 new information disclosure mechanism

Tseng, Yi-Heng; Chen, Shu-Heng - In: Pacific-Basin finance journal 35 (2015) 1, pp. 241-272

Persistent link: https://www.econbiz.de/10011538265

Order aggressiveness, pre-trade transparency, and long memory in an order-driven market

Yamamoto, Ryuichi - In: Journal of economic dynamics & control 35 (2011) 11, pp. 1938-1963

Persistent link: https://www.econbiz.de/10009316438

An empirical analysis of non-execution and picking-off risks on the Tokyo Stock Exchange

Yamamoto, Ryuichi - In: Journal of empirical finance 29 (2014), pp. 369-383

Persistent link: https://www.econbiz.de/10011300454

Dynamic predictor selection and order splitting in a limit order market

Yamamoto, Ryuichi - In: Macroeconomic dynamics 23 (2019) 5, pp. 1757-1792

Persistent link: https://www.econbiz.de/10012127237

Limit order submission risks, order choice, and tick size

Yamamoto, Ryuichi - In: Pacific-Basin finance journal 59 (2020), pp. 1-20

Persistent link: https://www.econbiz.de/10012231313

Order Aggressiveness, Pre-Trade Transparency, and Long Memory in an Order-Driven Market

Yamamoto, Ryuichi - 2012

Recent empirical research has documented that the state of the limit order book influences stock investors' strategies. Investors place more aggressive orders when the same side of the order book is thicker, and less aggressive orders when it is thinner. We conjecture and demonstrate that this...

Persistent link: https://www.econbiz.de/10013116067

Price discovery, order submission, and tick size during preopen period

Xiao, Xijuan; Yamamoto, Ryuichi - In: Pacific-Basin finance journal 63 (2020), pp. 1-19

Persistent link: https://www.econbiz.de/10012493843

Order submission, information asymmetry, and tick size

Zhu, Hongyu; Yamamoto, Ryuichi - In: Pacific-Basin finance journal 74 (2022), pp. 1-22

Persistent link: https://www.econbiz.de/10013389193