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Short selling and intraday price pressures

Shkilko, Andriy; Van Ness, Bonnie F.; Van Ness, Robert A. - In: Financial management 41 (2012) 2, pp. 345-370

Persistent link: https://www.econbiz.de/10009576277

High-frequency trading patterns around short-term volatility spikes

Griffith, Todd G.; Van Ness, Bonnie F.; Van Ness, Robert A. - In: The journal of trading 12 (2017) 3, pp. 48-68

Persistent link: https://www.econbiz.de/10011699679

The role of HFTs in order flow toxicity and stock price variance, and predicting changes in HFTs' liquidity provisions

Van Ness, Bonnie F.; Van Ness, Robert A.; Yildiz, Serhat - In: Journal of economics and finance 41 (2017) 4, pp. 739-762

Persistent link: https://www.econbiz.de/10011802216

VPIN, liquidity, and return volatility in the US equity markets

Yildiz, Serhat; Van Ness, Bonnie F.; Van Ness, Robert A. - In: Global finance journal 45 (2020)

Persistent link: https://www.econbiz.de/10012503390

The Role of HFTs in Order Flow Toxicity and Stock Price Variance, and Predicting Changes in HFTs’ Liquidity Provisions

Yildiz, Serhat - 2016

This study examines relations between high frequency trading, order flow toxicity, stock price volatility during normal and high order flow toxicity periods, and predictability of changes in high frequency traders' liquidity supply and demand. By employing Volume-synchronized probability of...

Persistent link: https://www.econbiz.de/10012998150

Circuit breakers, trading collars, and volatility transmission across markets : evidence from NYSE Rule 80A

Goldstein, Michael A. - In: The financial review : the official publication of the … 50 (2015) 3, pp. 459-479

Persistent link: https://www.econbiz.de/10011338148

Computerized and high-frequency trading

Goldstein, Michael A.; Kumar, Pavitra; Graves, Frank C. - In: The financial review : the official publication of the … 49 (2014) 2, pp. 177-202

Persistent link: https://www.econbiz.de/10010362733

Do global uncertainties impede insurance activity? : an empirical evidence from top two economies

Ahmed, Danish; Xuhua, Hu; Goldstein, Michael A.; Xie, … - In: Finance research letters 67 (2024) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10015061413