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Competing market makers, liquidity provision, and bid-ask spreads

Bondarenko, Oleg - In: Journal of financial markets 4 (2001) 3, pp. 2269-308

Persistent link: https://www.econbiz.de/10001587948

Specialist participation and limit orders

Bondarenko, Oleg; Sung, Jaeyoung - In: Journal of financial markets 6 (2003) 4, pp. 539-571

Persistent link: https://www.econbiz.de/10001780138

Assessing measures of order flow toxicity via perfect trade classification

Andersen, Torben; Bondarenko, Oleg - 2013

Persistent link: https://www.econbiz.de/10010226859

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

Assessing measures of order flow toxicity and early warning signals for market turbulence

Andersen, Torben; Bondarenko, Oleg - In: Review of finance : journal of the European Finance … 19 (2015) 1, pp. 1-54

Persistent link: https://www.econbiz.de/10011343064

Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence

Andersen, Torben - 2015

Following the much publicized "flash crash" in the U.S. financial markets on May 6, 2010, much work has been done in terms of developing reliable warning signals for impending market stress. However, this has met with limited success, except for one measure. The VPIN, or Volume-synchronized...

Persistent link: https://www.econbiz.de/10013035365

Intraday trading invariancein the E-mini S&P 500 futures market

Andersen, Torben; Bondarenko, Oleg; Kyle, Albert S.; … - 2020

Persistent link: https://www.econbiz.de/10012494219

Industrial organization, order Internalization, and invariance

Bondarenko, Oleg; Obižaeva, Anna; Wang, Yajun - 2020

Persistent link: https://www.econbiz.de/10012494238

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