Works matching DE "ORDER flow (Securities)"

Results: 74

Informed Trading and Portfolio Returns.

Published in:

Review of Economic Studies, 2013, v. 80, n. 1, p. 35, doi. 10.1093/restud/rds020

By:

Boulatov, Alex;
Hendershott, Terrence;
Livdan, Dmitry

Publication type:

Article

Analysts' sale and distribution of non fundamental information.

Published in:

Review of Accounting Studies, 2012, v. 17, n. 2, p. 352, doi. 10.1007/s11142-012-9183-x

By:

Cheynel, Edwige;
Levine, Carolyn

Publication type:

Article

Inter-market competition for NYSE-listed securities under decimals.

Published in:

Review of Quantitative Finance & Accounting, 2010, v. 35, n. 4, p. 371, doi. 10.1007/s11156-009-0139-6

By:

Goldstein, Michael;
Shkilko, Andriy;
Ness, Bonnie;
Ness, Robert

Publication type:

Article

Exploring Price Fluctuations in a Double Auction Market.

Published in:

Computational Economics, 2016, v. 48, n. 2, p. 189, doi. 10.1007/s10614-015-9520-9

By:

Ji, Mingjie;
Li, Honggang

Publication type:

Article

A PIACI LIKVIDITÁS HATÁSA A VÁLLALATOKRA.

Published in:

Vezetéstudomány / Budapest Management Review, 2012, v. 43, p. 51, doi. 10.14267/veztud.2012.06.05

By:

Márton, Michaletzky

Publication type:

Article

Criminal forms of high frequency trading on the financial markets.

Published in:

Law & Financial Markets Review, 2015, v. 9, n. 2, p. 113, doi. 10.1080/17521440.2015.1052670

By:

Fisher, Jonathan;
Clifford, Anita;
Dinshaw, Freya;
Werle, Nicholas

Publication type:

Article

The Impact of Order Flow on the Foreign Exchange Market: A Copula Approach.

Published in:

Asia-Pacific Financial Markets, 2011, v. 18, n. 1, p. 1, doi. 10.1007/s10690-010-9118-0

By:

Kitamura, Yoshihiro

Publication type:

Article

It's SHO Time! Short-Sale Price Tests and Market Quality.

Published in:

Journal of Finance (Wiley-Blackwell), 2009, v. 64, n. 1, p. 37, doi. 10.1111/j.1540-6261.2008.01428.x

By:

DIETHER, KARL B.;
LEE, KUAN-HUI;
WERNER, INGRID M.

Publication type:

Article

Marketwide Private Information in Stocks: Forecasting Currency Returns.

Published in:

Journal of Finance (Wiley-Blackwell), 2008, v. 63, n. 5, p. 2297, doi. 10.1111/j.1540-6261.2008.01398.x

By:

ALBUQUERQUE, RUI;
DE FRANCISCO, EVA;
MARQUES, LUIS B.

Publication type:

Article

Competition for Order Flow and Smart Order Routing Systems.

Published in:

Journal of Finance (Wiley-Blackwell), 2008, v. 63, n. 1, p. 119, doi. 10.1111/j.1540-6261.2008.01312.x

By:

FOUCAULT, THIERRY;
MENKVELD, ALBERT J.

Publication type:

Article

The Development of Secondary Market Liquidity for NYSE-Listed IPOs.

Published in:

Journal of Finance (Wiley-Blackwell), 2004, v. 59, n. 5, p. 2339, doi. 10.1111/j.1540-6261.2004.00701.x

By:

CORWIN, SHANE A.;
HARRIS, JEFFREY H.;
LIPSON, MARC L.

Publication type:

Article

Economic News and the Impact of Trading on Bond Prices.

Published in:

Journal of Finance (Wiley-Blackwell), 2004, v. 59, n. 3, p. 1201, doi. 10.1111/j.1540-6261.2004.00660.x

By:

GREEN, T. CLIFTON

Publication type:

Article

Liquidity Externalities and Adverse Selection: Evidence from Trading after Hours.

Published in:

Journal of Finance (Wiley-Blackwell), 2004, v. 59, n. 2, p. 681, doi. 10.1111/j.1540-6261.2004.00646.x

By:

BARCLAY, MICHAEL J.;
HENDERSHOTT, TERRENCE

Publication type:

Article

Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?

Published in:

Journal of Finance (Wiley-Blackwell), 2004, v. 59, n. 2, p. 711, doi. 10.1111/j.1540-6261.2004.00647.x

By:

BOLLEN, NICOLAS P. B.;
WHALEY, ROBERT E.

Publication type:

Article

Toward a National Market System for U.S. Exchange–listed Equity Options.

Published in:

Journal of Finance (Wiley-Blackwell), 2004, v. 59, n. 2, p. 933, doi. 10.1111/j.1540-6261.2004.00653.x

By:

BATTALIO, ROBERT;
HATCH, BRIAN;
JENNINGS, ROBERT

Publication type:

Article

Nasdaq Trading Halts: The Impact of Market Mechanisms on Prices, Trading Activity, and Execution Costs.

Published in:

Journal of Finance (Wiley-Blackwell), 2002, v. 57, n. 3, p. 1443, doi. 10.1111/1540-6261.00466

By:

CHRISTIE, WILLIAM G.;
CORWIN, SHANE A.;
HARRIS, JEFFREY H.

Publication type:

Article

Discussion.

Published in:

Journal of Finance (Wiley-Blackwell), 2000, v. 55, n. 4, p. 1801, doi. 10.1111/0022-1082.00268

By:

Weaver, Daniel G.

Publication type:

Article

Order Flow and Liquidity around NYSE Trading Halts.

Published in:

Journal of Finance (Wiley-Blackwell), 2000, v. 55, n. 4, p. 1771, doi. 10.1111/0022-1082.00267

By:

Corwin, Shane A.;
Lipson, Marc L.

Publication type:

Article

The Impact of Trader Type on the Futures Volatility-Volume Relation.

Published in:

Journal of Finance (Wiley-Blackwell), 1999, v. 54, n. 6, p. 2297, doi. 10.1111/0022-1082.00189

By:

Daigler, Robert T.;
Wiley, Marilyn K.

Publication type:

Article

Merging Markets.

Published in:

Journal of Finance (Wiley-Blackwell), 1999, v. 54, n. 3, p. 1083, doi. 10.1111/0022-1082.00137

By:

Arnold, Tom;
Hersch, Philip;
Mulherin, J. Harold;
Netter, Jeffry

Publication type:

Article

Payments for Order Flow on Nasdaq.

Published in:

Journal of Finance (Wiley-Blackwell), 1999, v. 54, n. 1, p. 35, doi. 10.1111/0022-1082.00098

By:

Kandel, Eugene;
Marx, Leslie M.

Publication type:

Article

Effects of Market Reform on the Trading Costs and Depths of Nasdaq Stocks.

Published in:

Journal of Finance (Wiley-Blackwell), 1999, v. 54, n. 1, p. 1, doi. 10.1111/0022-1082.00097

By:

Barclay, Michael J.;
Christie, William G.;
Harris, Jeffrey H.;
Kandel, Eugene;
Schultz, Paul H.

Publication type:

Article

Strategic Trading When Agents Forecast the Forecasts of Others.

Published in:

Journal of Finance (Wiley-Blackwell), 1996, v. 51, n. 4, p. 1437, doi. 10.1111/j.1540-6261.1996.tb04075.x

By:

Foster, F. Douglas;
Viswanathan, S.

Publication type:

Article

Can quote competition reduce preferenced trading? A reexamination of the SEC's 1997 order handling rules.

Published in:

Accounting & Finance, 2013, v. 53, n. 1, p. 243, doi. 10.1111/j.1467-629X.2012.00494.x

By:

Rhee, S. Ghon;
Tang, Ning

Publication type:

Article

Commercially Available Order Flow Data and Exchange Rate Movements: Caveat Emptor.

Published in:

Journal of Money, Credit & Banking (Wiley-Blackwell), 2008, v. 40, n. 4, p. 583, doi. 10.1111/j.1538-4616.2008.00129.x

By:

SAGER, MICHAEL;
TAYLOR, MARK P.

Publication type:

Article

The Relation Between Common Stock Returns Trading Activity and Market Value.

Published in:

Journal of Finance (Wiley-Blackwell), 1983, v. 38, n. 4, p. 1075, doi. 10.1111/j.1540-6261.1983.tb02283.x

By:

JAMES, CHRISTOPHER;
EDMISTER, ROBERT O.

Publication type:

Article

Understanding Order-Flow Volatility.

Published in:

International Journal of Financial Management, 2014, v. 4, n. 2, p. 55

By:

Ravi, Rahul

Publication type:

Article

Hidden Liquidity: Order Exposure Strategies Around Earnings Announcements.

Published in:

Journal of Business Finance & Accounting, 2008, v. 35, n. 9/10, p. 1220, doi. 10.1111/j.1468-5957.2008.02111.x

By:

Chakrabarty, Bidisha;
Shaw, Kenneth W.

Publication type:

Article

Cross-listing and Trading on the Domestic Market: Evidence from Canada–US Partial Holidays.

Published in:

Journal of Business Finance & Accounting, 2008, v. 35, n. 9/10, p. 1245, doi. 10.1111/j.1468-5957.2008.02105.x

By:

Tannous, George F.;
Zhang, Ying

Publication type:

Article

ESTIMATION OF TIME-VARYING ADJUSTED PROBABILITY OF INFORMED TRADING AND PROBABILITY OF SYMMETRIC ORDER-FLOW SHOCK.

Published in:

Journal of Applied Econometrics, 2013, v. 28, n. 7, p. 1138, doi. 10.1002/jae.2302

By:

Preve, Daniel;
Tse, Yiu‐Kuen

Publication type:

Article

Precios de adjudicación y componentes del spread en la Bolsa de Valores de Lima.

Published in:

Revista de la CEPAL, 2015, n. 115, p. 71, doi. 10.18356/99995d67-es

By:

Chávez-Bedoya, Luis;
Loaiza Álamo, Carlos;
Téllez De Vettori, Giannio

Publication type:

Article

Reversing the lead, or a series of unfortunate events? NYMEX, ICE, and Amaranth.

Published in:

Journal of Futures Markets, 2009, v. 29, n. 12, p. 1130, doi. 10.1002/fut.20419

By:

Kofman, Paul;
Michayluk, David;
Moser, James T.

Publication type:

Article

Order Flows and Stock Returns: Compensation for Market Makers with Inventory Concerns.

Published in:

Financial Review, 2014, v. 49, n. 3, p. 511, doi. 10.1111/fire.12046

By:

Kang, Moonsoo;
Lee, Bong‐Soo

Publication type:

Article

To Pay or Be Paid? The Impact of Taker Fees and Order Flow Inducements on Trading Costs in U.S. Options Markets.

Published in:

Journal of Financial & Quantitative Analysis, 2016, v. 51, n. 5, p. 1637, doi. 10.1017/S0022109016000582

By:

Battalio, Robert;
Shkilko, Andriy;
Van Ness, Robert

Publication type:

Article

Volume Dynamics and Multimarket Trading.

Published in:

Journal of Financial & Quantitative Analysis, 2013, v. 48, n. 2, p. 489, doi. 10.1017/S0022109013000094

By:

Halling, Michael;
Moulton, Pamela C.;
Panayides, Marios

Publication type:

Article

Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate.

Published in:

Journal of Financial & Quantitative Analysis, 2012, v. 47, n. 4, p. 821, doi. 10.1017/S0022109012000245

By:

Menkveld, Albert J.;
Sarkar, Asani;
Wel, Michel van der

Publication type:

Article

Macroeconomic News, Order Flows, and Exchange Rates.

Published in:

Journal of Financial & Quantitative Analysis, 2008, v. 43, n. 2, p. 467, doi. 10.1017/S0022109000003598

By:

Love, Ryan;
Payne, Richard

Publication type:

Article

Order Consolidation, Price Efficiency, and Extreme Liquidity Shocks.

Published in:

Journal of Financial & Quantitative Analysis, 2008, v. 43, n. 1, p. 93, doi. 10.1017/S0022109000002763

By:

Barclay, Michael J.;
Jones, Charles M.;
Hendershott, Terrence

Publication type:

Article

Preferencing, Internalization of Order Flow, and Tacit Collusion: Evidence from Experiments.

Published in:

Journal of Financial & Quantitative Analysis, 2002, v. 37, n. 3, p. 449, doi. 10.2307/3594988

By:

Kluger, Brian D.;
Wyatt, Steve B.

Publication type:

Article

Strategic Trading with Asymmetrically Informed Traders and Long-Lived Information.

Published in:

Journal of Financial & Quantitative Analysis, 1994, v. 29, n. 4, p. 499, doi. 10.2307/2331107

By:

Foster, F. Douglas;
Viswanathan, S.

Publication type:

Article

Regularities and irregularities in order flow data.

Published in:

European Physical Journal B: Condensed Matter, 2017, v. 90, n. 11, p. 1, doi. 10.1140/epjb/e2017-80087-6

By:

Theissen, Martin;
Krause, Sebastian;
Guhr, Thomas

Publication type:

Article

INSIDER TRADING UNDER DISCRETENESS.

Published in:

International Journal of Theoretical & Applied Finance, 2011, v. 14, n. 5, p. 757, doi. 10.1142/S0219024911006528

By:

SCOTTI, MASSIMO

Publication type:

Article

LINEAR AND NONLINEAR CORRELATIONS IN THE ORDER AGGRESSIVENESS OF CHINESE STOCKS.

Published in:

Fractals, 2017, v. 25, n. 5, p. -1, doi. 10.1142/S0218348X17500414

By:

YUE, PENG;
XU, HAI-CHUAN;
CHEN, WEI;
XIONG, XIONG;
ZHOU, WEI-XING

Publication type:

Article

Order flow imbalance effects on the German stock market.

Published in:

Business Research, 2015, v. 8, n. 2, p. 213, doi. 10.1007/s40685-015-0025-0

By:

Hanke, Michael;
Weigerding, Michael

Publication type:

Article

The offshore renminbi exchange rate: Microstructure and links to the onshore market.

Published in:

BOFIT Discussion Papers, 2014, n. 17, p. 1

By:

Yin-Wong Cheung;
Dagfinn Rime

Publication type:

Article

Option Listing and Information Asymmetry.

Published in:

Review of Finance, 2018, v. 22, n. 3, p. 1153, doi. 10.1093/rof/rfx015

By:

Jianfeng Hu

Publication type:

Article

Initiation of Trades on the Chinese Stock Market.

Published in:

Review of Pacific Basin Financial Markets & Policies, 2015, v. 18, n. 2, p. -1, doi. 10.1142/S0219091515500125

By:

Zheng, Xinwei

Publication type:

Article

Competition and Market Structure of National Association of Securities Dealers Automated Quotations.

Published in:

International Review of Finance, 2007, v. 7, n. 3/4, p. 143, doi. 10.1111/j.1468-2443.2007.00076.x

By:

YOUNGSOO KIM;
MEHROTRA, VIKAS

Publication type:

Article

Crossed and Locked Quotes in a Multi-Market Simulation.

Published in:

PLoS ONE, 2016, v. 11, n. 3, p. 1, doi. 10.1371/journal.pone.0151096

By:

Todd, Andrew;
Beling, Peter;
Scherer, William

Publication type:

Article

Time-Varying Arrival Rates of Informed and Uninformed Trades.

Published in:

Journal of Financial Econometrics, 2008, v. 6, n. 2, p. 171, doi. 10.1093/jjfinec/nbn003

By:

Easley, David;
Engle, Robert F.;
O'Hara, Maureen;
Liuren Wu

Publication type:

Article