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Displaying results 1 to 25 of 38.
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The Italian overnight market
microstructure effects, the marginale hypothesis and the payment system -
Volatility of interest rates in the Euro area
evidence from high frequency data -
The italian overnight market
microstructure effects, the Martingale hypothesis and the payment system -
Empirical models of the intraday process of price changes and liquidity
a transaction level approach -
The use of flow analysis in foreign exchange
exploratory evidence -
How often to sample a continuous-time process in the presence of market microstructure noise
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Was there front running during the LTCM crisis?
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The impact of microstructure innovations in emerging stock markets
evidence from Mumbai, India -
Spill-over dynamics of central bank interventions
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When continuous trading becomes continuous
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Volume shocks and short-horizon stock return autocovariances
evidence from the Warsaw stock exchange -
Multi-asset market dynamics
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A minimal noise trader model with realistic time series properties
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The effects of e-commerce on the markets
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Asymmetric price behaviour surrounding block trades
a market microstructure explanation -
Heterogeneous expectations in the foreign exchange market
evidence from the daily dollar/DM exchange rate -
Price discovery in fragmented markets
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When do central bank interventions influence intra-daily and longer-term exchange rate movements?
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Anatomy of a market crash
a market microstructure analysis of the Turkish overnight liquidity crisis -
Essays on the interface of market microstructure and behavioral finance
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Noise traders and the volatility of exchange rates
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Tobin tax effects seen from the foreign exchange market's microstructure
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Estimating the probability of informed trading
does trade misclassification matter? -
Inventory information
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Why do larger orders receive discounts on the London Stock Exchange?