Time and the Price Impact of a Trade (2000)

by Alfonso Dufour , Robert F. Engle
Venue:JOURNAL OF FINANCE
Citations:61 - 2 self

Active Bibliography

5 Market Microstructure – Hans R. Stoll - 2003
178 The Microstructure Approach to Exchange Rates – Richard K. Lyons - 2000
Full-information transaction costs – Federico M. Bandi, Jeffrey R. Russell - 2004
Dynamics of Effective . . . A Real-time Structural Model of Price Formation – Liang Peng - 2001
1 The Logarithmic ACD Model: An Application to Market Microstructure and NASDAQ – Luc Bauwens, Pierre Giot - 1997
8 True Spreads and Equilibrium Prices – Clifford A. Ball, Tarun Chordia - 2001
2 Voluntary Lack of Trade and Its Effects on Short Term Information Asymmetry – Keith Jakob , Avner Kalay
Duration, trading volume and the price impact of trades in an emerging futures market – n.n.
17 Impacts Of Trades In An Error-Correction Model Of Quote Prices – Robert F. Engle, Andrew J. Patton - 2001
7 Market Microstructure: A Survey of . . . – Bruno Biais, Larry Glosten, Chester Spatt
A New Methodology for Measuring Liquidity-Induced Transaction Costs – Christopher Ting, Mitch Warachka
6 Modeling The Impacts Of Market Activity On Bid-Ask Spreads In The Option Market – Young-hye Cho, Robert F. Engle - 1998
63 Market liquidity as a sentiment indicator – Malcolm Baker, Jeremy C. Stein - 2002
Duration, Volume and . . . – Simone Manganelli - 2002
Pervasive Liquidity Risk – B. Espen Eckbo, Øyvind Norli - 2002
The Relative . . . Ask and Bid Quotes to Price Discovery – Roberto Pascual, Bartolomé Pascual-Fuster - 2009
20 Trades And Quotes: A Bivariate Point Process – Robert F. Engle, Asger Lunde - 1998
1 Cancellation and Uncertainty Aversion on Limit Order Books – Jeremy Large, Er Guembel, Kohei Kawamura, Rob Engle, Thierry Foucault, Ian Jewitt, Meg Meyer, Neil Shephard - 2004
16 Time Transformations, Intraday Data And Volatility Models – Pierre Giot - 1999