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113
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The Microstructure Approach to Exchange Rates
– Richard K. Lyons
- 2000
|
|
5
|
Market Microstructure
– Hans R. Stoll
- 2003
|
|
|
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
|
|
7
|
True Spreads and Equilibrium Prices
– Clifford A. Ball, Tarun Chordia
- 2001
|
|
|
Duration, trading volume and the price impact of trades in an emerging futures market
– n.n.
|
|
2
|
Voluntary Lack of Trade and Its Effects on Short Term Information Asymmetry
– Keith Jakob , Avner Kalay
|
|
14
|
Impacts Of Trades In An Error-Correction Model Of Quote Prices
– Robert F. Engle, Andrew J. Patton
- 2001
|
|
2
|
Market Microstructure: A Survey of . . .
– Bruno Biais, Larry Glosten, Chester Spatt
|
|
|
Duration, Volume and . . .
– Simone Manganelli
- 2002
|
|
|
A New Methodology for Measuring Liquidity-Induced Transaction Costs
– Christopher Ting, Mitch Warachka
|
|
4
|
Modeling The Impacts Of Market Activity On Bid-Ask Spreads In The Option Market
– Young-hye Cho, Robert F. Engle, Robert F. Engle
- 1999
|
|
|
Pervasive Liquidity Risk
– B. Espen Eckbo, Øyvind Norli
- 2002
|
|
12
|
Trades And Quotes: A Bivariate Point Process
– Robert F. Engle, Asger Lunde
- 1998
|
|
|
Ask and Bid Quotes to Price Discovery
– Roberto Pascual, Bartolomé Pascual-fuster
- 2009
|
|
|
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
|
|
9
|
Time Transformations, Intraday Data And Volatility Models
– Pierre Giot
- 1999
|
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27
|
Market liquidity as a sentiment indicator
– Malcolm Baker, Jeremy C. Stein
- 2002
|
