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Trading liquidity and funding liquidityin fixed income markets: implications of market microstructure invariance

Kyle, Albert S.; Obižaeva, Anna - 2020

Persistent link: https://www.econbiz.de/10012494216

Tsoukalas, Gerry; Wang, Jiang; Giesecke, Kay - In: Management science : journal of the Institute for … 65 (2019) 5, pp. 2015-2040

Persistent link: https://www.econbiz.de/10012039722

Inferring trade directions in fast markets

Jurkatis, Simon - 2020

Persistent link: https://www.econbiz.de/10012597973

Market Makers and Liquidity

Sensenbrenner, Frank - 2013

Current trading is characterized by various market structures. This chapter examines market structures predominant in equities and fixed-income markets and compares and contrasts them. It also reviews the academic literature about the implications of market structure design. Market structure...

Persistent link: https://www.econbiz.de/10013083345

Optimal liquidation in a limit order book for a risk-averse investor

Løkka, Arne - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 696-727

Persistent link: https://www.econbiz.de/10011308171

Enhancing trading strategies with order book signals

Cartea, Álvaro; Donnelly, Ryan; Jaimungal, Sebastian - In: Applied mathematical finance 25 (2018) 1/2, pp. 1-35

Persistent link: https://www.econbiz.de/10011959112

Information and optimal trading strategies with dark pools

Bayona, Anna; Dumitrescu, Ariadna; Manzano Tovar, Carolina - In: Economic modelling 126 (2023), pp. 1-22

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Optimal trade execution in cryptocurrency markets

Bundi, Nils; Wei, Ching-Lin; Khashanah, Khaldoun - In: Digital finance : smart data analytics, investment … 6 (2024) 2, pp. 283-318

Persistent link: https://www.econbiz.de/10014584489

Inferring trade directions in fast markets

Jurkatis, Simon - In: Journal of financial markets 58 (2022), pp. 1-22

Persistent link: https://www.econbiz.de/10013254020

Fintech, fractional trading, and order book dynamics : a study of US equities markets

Tripathi, Janhavi Shankar; Rengifo, Erick W. - In: FinTech 4 (2025) 2, pp. 1-23

This study investigates how the rise of commission-free FinTech platforms and the introduction of fractional trading (FT) have altered trading behavior and order book dynamics in the NASDAQ equity market. Leveraging high-frequency ITCH data from highly capitalized stocks-AAPL, AMZN, GOOG, and...

Persistent link: https://www.econbiz.de/10015432784