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The diversity of high-frequency traders

Hagströmer, Björn; Nordén, Lars - In: Journal of financial markets 16 (2013) 4, pp. 741-770

Persistent link: https://www.econbiz.de/10010242210

Asymmetric option price distribution and bid-ask quotes : consequences for implied volatility smiles

Nordén, Lars - In: Journal of multinational financial management 13 (2003) 4/5, pp. 423-441

Persistent link: https://www.econbiz.de/10001782073

Trading and non-trading time return dynamics : an analysis of Swedih OMX stock index and forward returns using a GARCH framework

Hördahl, Peter; Nordén, Lars - 1996

Persistent link: https://www.econbiz.de/10000932356

A brighter future with lower transactions costs?

Nordén, Lars - In: The journal of futures markets 29 (2009) 8, pp. 775-796

Persistent link: https://www.econbiz.de/10003900671

Option happiness and liquidity : is the dynamics of the volatility smirk affected by relative option liquidity?

Nordén, Lars; Xu, Caihong - In: The journal of futures markets 32 (2012) 1, pp. 47-74

Persistent link: https://www.econbiz.de/10010218059

Call Auction Volatility Extensions

Félez-Viñas, Ester - 2017

Volatility extensions in closing auctions are designed to improve the efficiency of the closing price. We hypothesize that the channel for the efficiency increase is that extensions improve market integrity and investor trust in the auction mechanism. We confirm that the introduction of a...

Persistent link: https://www.econbiz.de/10012944462