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Opening prices on the ASX and the SES

Frino, Alex; Lau, Sie-ting; McInish, Thomas G. - In: Advances in Pacific Basin financial markets 6 (2000), pp. 71-80

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Information environment and equity risk premium volatility around the world

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Lost in translation : which stock prices bear the burden to adjust to exchange rates?

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Individual share futures contracts : the economic impact of their introduction on the underlying equity market

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Short selling and intraday price pressures

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High-frequency trading patterns around short-term volatility spikes

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

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

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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