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Competition, signaling and non-walking through the book : effects on order choice

Valenzuela, Marcela; Zer, Ilknur - In: Journal of banking & finance 37 (2013) 12, pp. 5421-5435

Persistent link: https://www.econbiz.de/10010343681

Competition, signaling and non-walking through the book: Effects on order choice

Valenzuela, Marcela; Zer, Ilknur - In: Journal of Banking & Finance 37 (2013) 12, pp. 5421-5435

We investigate the effects of competition and signaling in a pure order driven market and examine the trading patterns of agents when walking through the book is not allowed. Our results suggest that the variables capturing the cost of a large market order are not informative for an impatient...

Persistent link: https://www.econbiz.de/10010709484

Individuals' asymmetric choice of order-type depending on the previous returns

Lee, Hyo-jeong - In: Global Business & Finance Review (GBFR) 23 (2018) 2, pp. 1-18

Persistent link: https://www.econbiz.de/10012286654

Large tick assets : implicit spread and optimal tick size

Dayri, Khalil; Rosenbaum, Mathieu - In: Market microstructure and liquidity 1 (2015) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10011588190

Liquidity and impact in fair markets

Jaisson, Thibault - In: Market microstructure and liquidity 1 (2015) 2, pp. 1-20

Persistent link: https://www.econbiz.de/10011588225

Estimating the price impact of market orders on the Bucharest stock exchange

Bahna, Mircea; Cepoi, Cosmin Octavian; Dumitrescu, Bogdan; … - In: Romanian journal of economic forecasting 21 (2018) 4, pp. 120-133

Persistent link: https://www.econbiz.de/10012021919

Trading strategies within the edges of no-arbitrage

Cartea, Álvaro; Jaimungal, Sebastian; Ricci, Jason - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-37

Persistent link: https://www.econbiz.de/10011889457

Individuals' asymmetric choice of order-type depending on the previous returns

Lee, Hyo-jeong - In: Global business and finance review 23 (2018) 2, pp. 1-18

Persistent link: https://www.econbiz.de/10011896922

Trade informativeness in modern markets

Nawn, Samarpan; Raizada, Gaurav - In: Financial analysts journal : FAJ 79 (2023) 1, pp. 77-98

Persistent link: https://www.econbiz.de/10013540889

A Leland model for delta hedging in central risk books

Muhle-Karbe, Johannes; Wang, Zexin; Webster, Kevin T. - In: Mathematical finance : an international journal of … 33 (2023) 3, pp. 504-547

Persistent link: https://www.econbiz.de/10014329890

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