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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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Further analysis of the liquidity and information components of institutional orders : active versus passive funds
Frino, Alex; Gallagher, David R.; Oetomo, Teddy N. - In: Pacific-Basin finance journal 14 (2006) 5, pp. 439-452
Persistent link: https://www.econbiz.de/10003387074
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Tax effects on the pricing of Australian stock index futures
Cummings, James Richard; Frino, Alex - In: Australian journal of management 33 (2008/09) 2, pp. 391-406
Persistent link: https://www.econbiz.de/10003829031
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Limit order book, anonymity and market liquidity : evidence from the Sydney Futures Exchange
Frino, Alex; Gerace, Dionigi; Lepone, Andrew - In: Accounting and finance : journal of the Accounting … 48 (2008) 4, pp. 561-573
Persistent link: https://www.econbiz.de/10003782214
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Price behaviour surrounding block transactions in stock index futures markets : international evidence
Frino, Alex; Kruk, Jennifer; Lepone, Andrew - In: Asia-Pacific financial markets : integration, …, (pp. 289-303). 2008
Persistent link: https://www.econbiz.de/10003603106
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Transactions in futures markets : informed or uninformed?
Frino, Alex; Kruk, Jennifer; Lepone, Andrew - In: The journal of futures markets 27 (2007) 12, pp. 1159-1174
Persistent link: https://www.econbiz.de/10003627175
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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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Limit order book transparency, execution risk, and market liquidity : evidence from the Sydney futures exchange
Bortoli, Luke; Frino, Alex; Fung, Joseph K. W.; … - In: The journal of futures markets 26 (2006) 12, pp. 1147-1167
Persistent link: https://www.econbiz.de/10003392008
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Slippage in futures markets : evidence from the Sydney futures exchange
Frino, Alex; Oetomo, Teddy - In: The journal of futures markets 25 (2005) 12, pp. 1129-1146
Persistent link: https://www.econbiz.de/10003244352
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The impact of electronic trading on bid-ask spreads : evidence from futures markets in Hong Kong, London, and Sydney
Aitken, Michael J.; Frino, Alex; Hill, Amelia M.; … - In: The journal of futures markets 24 (2004) 7, pp. 675-696
Persistent link: https://www.econbiz.de/10002108815