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Capital Markets: Market Microstructure eJournal

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Viewing: 51 - 100 of 6,872 papers

51.

Advances in High Frequency Strategies

Doctoral Dissertation, Complutense University, Madrid, 2011
Number of pages: 42 Posted: 14 Jul 2012 Last Revised: 08 Aug 2015
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 4,172
52.

Trading Costs

Number of pages: 88 Posted: 22 Aug 2018
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOM
Downloads 4,161
53.

On Information Asymmetry Metrics

Number of pages: 60 Posted: 18 Jan 2001
Working Paper Series
Georgia Institute of Technology - Scheller College of Business and University of Pittsburgh - Finance Group
Downloads 4,028
54.

The Occurrence and Timing of Events: The Application of Event History Models in Accounting and Finance Research

Number of pages: 79 Posted: 01 Nov 1999
Working Paper Series
Valparaiso University
Downloads 3,962
55.

An Equilibrium Valuation of Bitcoin and Decentralized Network Assets

Number of pages: 40 Posted: 20 Mar 2018 Last Revised: 26 Jul 2018
Working Paper Series
Imperial College Business School and Imperial College Business School
Downloads 3,931
56.

The New Stock Market: Sense and Nonsense

Duke Law Journal, Forthcoming, Columbia Law and Economics Working Paper No. 513, Columbia Business School Research Paper No. 15-32
Number of pages: 62 Posted: 19 Mar 2015
Accepted Paper Series
Columbia University - Law School, Columbia Business School - Finance and Economics and University of Michigan Law School
Downloads 3,922
57.

Universal Features of Price Formation in Financial Markets: Perspectives From Deep Learning

Number of pages: 20 Posted: 16 Mar 2018 Last Revised: 29 Mar 2018
Working Paper Series
Imperial College London - Department of Mathematics and University of Oxford
Downloads 3,907
58.

Low-Frequency Traders in a High-Frequency World: A Survival Guide

Number of pages: 41 Posted: 23 Sep 2012 Last Revised: 26 May 2014
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 3,847
59.

Are Momentum Profits Robust to Trading Costs?

Northwestern University Department of Finance Working Paper No. 289; AFA 2003 Washington, DC Meetings
Number of pages: 43 Posted: 28 Mar 2002
Working Paper Series
Northwestern University and Boston College - Carroll School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 3,828
60.

Stock Market Manipulation - Theory and Evidence

AFA 2004 San Diego Meetings
Number of pages: 49 Posted: 08 Dec 2003
Working Paper Series
Northeastern University and University of Houston
Downloads 3,798
61.

Day Trading International Mutual Funds: Evidence and Policy Solutions

Number of pages: 38 Posted: 05 Apr 2000
Working Paper Series
Yale School of Management - International Center for Finance, Michigan State University, Department of Finance and Yale School of Management - International Center for Finance

Multiple version iconThere are 2 versions of this paper

Downloads 3,788
62.

PIPEs

Entrepreneurial Business Law Journal, Vol. 2, p. 381, 2007
Number of pages: 33 Posted: 11 Jun 2007 Last Revised: 27 Nov 2007
Accepted Paper Series
University of Arizona - James E. Rogers College of Law
Downloads 3,781
63.

Analytic Solutions for Optimal Statistical Arbitrage Trading

Number of pages: 16 Posted: 14 Nov 2009
Working Paper Series
ITG Australia Limited
Downloads 3,730
64.

The Effect of 10k Restatements on Firm Value, Information Asymmetries, and Investors' Reliance on Earnings

Number of pages: 30 Posted: 17 Oct 2002
Working Paper Series
Georgetown University - Department of Accounting and Business Law and Emory University Goizueta Business School
Downloads 3,649
65.

Enhancing Trading Strategies with Order Book Signals

Number of pages: 38 Posted: 03 Oct 2015 Last Revised: 14 Oct 2015
Working Paper Series
University of Oxford, King's College London and University of Toronto - Department of Statistics
Downloads 3,628
66.

Optimal Execution Horizon

Mathematical Finance, 25(3), pp. 640-672. July 2015.
Number of pages: 43 Posted: 12 Apr 2012 Last Revised: 06 Jun 2015
Accepted Paper Series
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 3,565
67.
Downloads 3,538
68.

Developing Blockchain Real-Time Clearing and Settlement in the EU, U.S., and Globally

Columbia Journal of European Law: Preliminary Reference (June 22, 2016)
Number of pages: 11 Posted: 12 Jul 2016
Accepted Paper Series
University of Oxford, Nanotechnology for Medicine and Health Care
Downloads 3,476
69.

A Dysfunctional Role of High Frequency Trading in Electronic Markets

Johnson School Research Paper Series No. 08-2011
Number of pages: 16 Posted: 09 Mar 2011 Last Revised: 30 Jun 2011
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management and Columbia University
Downloads 3,454
70.

What Happened to the Quants in August 2007?: Evidence from Factors and Transactions Data

Number of pages: 60 Posted: 25 Oct 2008
Working Paper Series
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 3,436
71.

Do Noise Traders Move Markets?

EFA 2006 Zurich Meetings Paper
Number of pages: 47 Posted: 15 Dec 2005
Working Paper Series
University of California, Davis, University of California, Berkeley - Haas School of Business and China Academy of Financial Research (CAFR)
Downloads 3,427
72.

Fully Integrated Liquidity and Market Risk Model

Financial Analysts Journal, Forthcoming
Number of pages: 22 Posted: 13 May 2011 Last Revised: 20 Feb 2013
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 3,407
73.

Another Look at Trading Costs and Short-Term Reversal Profits

Number of pages: 44 Posted: 15 May 2010 Last Revised: 26 Jul 2011
Working Paper Series
Robeco Asset Management, Erasmus University - Rotterdam School of Management and Robeco Asset Management

Multiple version iconThere are 2 versions of this paper

Downloads 3,366
74.

A Comparison of New Factor Models

Fisher College of Business Working Paper No. 2015-03-05, HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital, Charles A. Dice Center Working Paper No. 2015-05
Number of pages: 67 Posted: 11 Nov 2014 Last Revised: 19 Apr 2017
Working Paper Series
Ohio State University (OSU) - Department of Finance, University of Cincinnati and Ohio State University - Fisher College of Business

Multiple version iconThere are 2 versions of this paper

Downloads 3,342
75.

Liquidity and Expected Returns: Lessons from Emerging Markets

AFA 2004 San Diego Meetings; EFA 2003 Annual Conference Paper No. 690
Number of pages: 56 Posted: 03 Aug 2003
Working Paper Series
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School

Multiple version iconThere are 4 versions of this paper

Downloads 3,335
76.

An Empirical Analysis of Stock and Bond Market Liquidity

FRB NY Staff Report No. 164
Number of pages: 61 Posted: 01 Nov 2001
Working Paper Series
Emory University - Department of Finance, Federal Reserve Bank of New York and University of California, Los Angeles (UCLA) - Finance Area

Multiple version iconThere are 3 versions of this paper

Downloads 3,321
77.

Dynamical Models of Market Impact and Algorithms for Order Execution

HANDBOOK ON SYSTEMIC RISK, Jean-Pierre Fouque, Joseph A. Langsam, eds., pp. 579-599, Cambridge, 2013
Number of pages: 23 Posted: 05 Apr 2012 Last Revised: 04 Sep 2013
Accepted Paper Series
CUNY Baruch College and University of Waterloo
Downloads 3,262
78.

Does Stock Liquidity Enhance or Impede Firm Innovation?

Journal of Finance, October 2014, 69 (5), 2085-2125.
Number of pages: 87 Posted: 24 Jan 2011 Last Revised: 12 Feb 2015
Accepted Paper Series
University of Minnesota - Twin Cities - Department of Accounting, Tsinghua University - PBC School of Finance and Tulane University - A.B. Freeman School of Business
Downloads 3,233
79.

Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit

International Journal of Theoretical and Applied Finance, Vol. 18, No. 3, 2015
Number of pages: 26 Posted: 23 Feb 2013 Last Revised: 27 Apr 2015
Accepted Paper Series
University of Washington - Department of Applied Math and Columbia University
Downloads 3,231
80.

News-Driven Return Reversals: Liquidity Provision Ahead of Earnings Announcements

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 38 Posted: 09 Jun 2013 Last Revised: 14 Jun 2014
Accepted Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Southern Methodist University
Downloads 3,196
81.

The Micro-Price: A High Frequency Estimator of Future Prices

Number of pages: 14 Posted: 19 May 2017 Last Revised: 03 Jun 2020
Working Paper Series
Cornell Financial Engineering Manhattan
Downloads 3,146
82.

An Economic Analysis of the Bitcoin Payment System

Columbia Business School Research Paper No. 17-92
Number of pages: 75 Posted: 28 Aug 2017 Last Revised: 01 Oct 2020
Working Paper Series
Columbia Business School - Finance and Economics, Chicago Booth and Columbia Business School - Decision Risk and Operations

Multiple version iconThere are 3 versions of this paper

Downloads 3,142
83.

Does Asymmetric Information Drive Capital Structure Decisions?

EFA 2006 Zurich Meetings, AFA 2008 New Orleans Meetings Paper
Number of pages: 55 Posted: 06 Mar 2006 Last Revised: 17 Jun 2018
Working Paper Series
Arizona State University (ASU) - Finance Department, University of Michigan, Stephen M. Ross School of Business and University of Houston

Multiple version iconThere are 2 versions of this paper

Downloads 3,114
84.

The Externalities of High Frequency Trading

WBS Finance Group Research Paper No. 180
Number of pages: 56 Posted: 26 May 2012 Last Revised: 26 Dec 2019
Working Paper Series
University of Illinois at Urbana-Champaign, The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Illinois at Urbana-Champaign
Downloads 3,083
85.

Statistical Arbitrage Trading Strategies and High Frequency Trading

Number of pages: 36 Posted: 16 Sep 2012 Last Revised: 19 Feb 2013
Working Paper Series
Kent State University - Department of Finance and Kent State University - College of Business Administration
Downloads 3,069
86.

High-Frequency Trading and Extreme Price Movements

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 46 Posted: 28 Nov 2014 Last Revised: 19 Jun 2020
Accepted Paper Series
University of Utah - David Eccles School of Business, University of Memphis - Fogelman College of Business and Economics, Louvain School of Management (UCL), Queen's University - Smith School of Business, Wilfrid Laurier University - Lazaridis School of Business and Economics and University of Memphis - Fogelman College of Business and Economics
Downloads 3,068
87.

Shackling Short Sellers: The 2008 Shorting Ban

Number of pages: 55 Posted: 02 Jun 2009 Last Revised: 01 Nov 2012
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business, Columbia Business School and Tsinghua University - PBC School of Finance
Downloads 3,066
88.

Return Differences between Trading and Non-Trading Hours: Like Night and Day

Number of pages: 48 Posted: 27 Mar 2008 Last Revised: 29 Sep 2008
Working Paper Series
University of Utah - David Eccles School of Business, Analysis Group and Purdue University - Krannert School of Management
Downloads 3,045
89.

Profitability of Trading Strategies on High-Frequency Data, with Trading Costs

Number of pages: 21 Posted: 26 Jul 2004
Working Paper Series
Indira Gandhi Institute of Development Research (IGIDR) and Indira Gandhi Institute of Development Research (IGIDR)
Downloads 3,027
90.

Trading Strategies and Market Microstructure: Evidence from a Prediction Market

The Journal of Prediction Markets 10 (1), 1-29, 2016
Number of pages: 29 Posted: 09 Sep 2013 Last Revised: 04 Oct 2016
Accepted Paper Series
Microsoft Research and Columbia University, Barnard College - Department of Economics
Downloads 3,023
91.

High Frequency Traders and Asset Prices

Number of pages: 30 Posted: 15 Mar 2010 Last Revised: 06 Aug 2019
Working Paper Series
California Institute of Technology - Division of the Humanities and Social Sciences and University of Cambridge - Finance

Multiple version iconThere are 2 versions of this paper

Downloads 3,011
92.

An Agent-Based Model of the Flash Crash of May 6, 2010, with Policy Implications

Number of pages: 39 Posted: 07 Oct 2013 Last Revised: 27 Feb 2014
Working Paper Series
Rayleigh Research and University of Cambridge
Downloads 3,005
93.

High-Frequency Trading around Large Institutional Orders

Journal of Finance, Forthcoming
Number of pages: 79 Posted: 18 Jun 2015 Last Revised: 24 Mar 2018
Accepted Paper Series
Pontifical Catholic University of Chile and Vrije Universiteit Amsterdam
Downloads 2,996
94.

Distributed Ledger Technology in Payments, Clearing, and Settlement

FEDS Working Paper No. 2016-095
Number of pages: 36 Posted: 07 Dec 2016
Working Paper Series
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Bank of Chicago
Downloads 2,969
95.

VPIN and the Flash Crash: A Comment

Journal of Financial Markets, Forthcoming, Johnson School Research Paper Series No. 25-2012
Number of pages: 8 Posted: 18 May 2012 Last Revised: 29 Sep 2013
Accepted Paper Series
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,937
96.

Diving Into Dark Pools

Charles A. Dice Center Working Paper No. 2010-10, Fisher College of Business Working Paper No. 2010-03-010
Number of pages: 59 Posted: 26 Jun 2010 Last Revised: 29 Mar 2016
Working Paper Series
Université Paris Dauphine - Department of Finance, Bocconi University and IGIER and Baffi Carefin and The Ohio State University - Fisher College of Business
Downloads 2,923
97.

A Forecast Comparison of Volatility Models: Does Anything Beat a Garch(1,1)?

Brown Univ. Economics Working Paper No. 01-04
Number of pages: 23 Posted: 13 Apr 2001
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics and Aarhus University - School of Business and Social Sciences
Downloads 2,913
98.

Commercial Mortgage-Backed Securities: Prepayment and Default

Number of pages: 32 Posted: 04 Feb 2002
Working Paper Series
Pennsylvania State University and George Mason University - School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 2,876
99.

Market Liquidity and Trading Activity

Number of pages: 45 Posted: 24 Aug 2000
Working Paper Series
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology
Downloads 2,864
100.

Algorithmic Trading with Learning

Number of pages: 28 Posted: 01 Jan 2014 Last Revised: 13 Oct 2015
Working Paper Series
University of Oxford, University of Toronto - Department of Statistics and The Fields Institute for Mathematical Sciences
Downloads 2,861