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An empirical analysis of price and time priority and pro rata trade execution algorithms in screen-traded markets
Frino, Alex; Hill, Amelia; Jarnecic, Elvis - In: The journal of derivatives : the official publication … 7 (2000) 4, pp. 41-48
Persistent link: https://www.econbiz.de/10001500038
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Bid-ask bounce and the measurement of price behavior around block trades on the Australian Stock Exchange
Frino, Alex; Jarnecic, Elvis; Johnstone, David; Lepone, … - In: Pacific-Basin finance journal 13 (2005) 3, pp. 247-262
Persistent link: https://www.econbiz.de/10002908544
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The option value of the limit order book
Frino, Alex; Jarnecic, Elvis; McInish, Thomas H. - In: Advances in quantitative analysis of finance and … 3 (2006), pp. 57-71
Persistent link: https://www.econbiz.de/10003424663
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The determinants of the price impact of block trades : further evidence
Frino, Alex; Jarnecic, Elvis; Lepone, Andrew - In: Abacus : a journal of accounting, finance and business … 43 (2007) 1, pp. 94-106
Persistent link: https://www.econbiz.de/10003537526
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The determinants of alternative trading venue market share : global evidence from the introduction of Chi-X
Peng, William He; Jarnecic, Elvis; Liu, Yubo - In: Journal of financial markets 22 (2015), pp. 27-49
Persistent link: https://www.econbiz.de/10011332872