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Order dynamics : recent evidence from the NYSE

Ellul, Andrew; Holden, Craig W.; Jain, Pankaj K.; … - In: Journal of empirical finance 14 (2007) 5, pp. 636-661

Persistent link: https://www.econbiz.de/10003609968

Ripples through markets : inter-market impacts generated by large trades

Ellul, Andrew - In: Journal of financial economics 82 (2006) 1, pp. 173-196

Persistent link: https://www.econbiz.de/10003376062

All else equal? : A multidimensional analysis of retail, market order execution quality

Battalio, Robert H.; Hatch, Brian; Jennings, Robert H. - In: Journal of financial markets 6 (2003) 2, pp. 143-162

Persistent link: https://www.econbiz.de/10001757876

Are Volatility Over Volume Liquidity Proxies Useful for Global or US Research?

Fong, Kingsley Y. L. - 2018

We examine a general class of volatility over volume liquidity proxies as computed from low frequency (daily) data. We start from the Kyle and Obizhaeva (2016) hypothesis of transaction cost invariance to identify a new volatility over volume liquidity proxy “VoV(%Spread)” for percent spread...

Persistent link: https://www.econbiz.de/10012933698

Inter-market price and volatility impacts generated by large trades : the case of European cross-quoted securities

Ellul, Andrew - 1999

Persistent link: https://www.econbiz.de/10001379463

Opening and closing the market : evidence from the London Stock Exchange

Ellul, Andrew; Shin, Hyun Song; Tonks, Ian - 2004

Persistent link: https://www.econbiz.de/10002379090

Opening and closing the market : evidence from the London stock exchange

Ellul, Andrew; Shin, Hyun Song; Tonks, Ian - In: Journal of financial and quantitative analysis : JFQA 40 (2005) 4, pp. 779-802

Persistent link: https://www.econbiz.de/10003242807