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Capital Markets: Market Microstructure eJournal

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Viewing: 101 - 150 of 6,872 papers

101.

Point and Figure Charting: A Computational Methodology and Trading Rule Performance in the S&P 500 Futures Market

QUT School of Economics and Finance Discussion Paper No. 01-01
Number of pages: 46 Posted: 08 May 2001
Working Paper Series
Queensland University of Technology - School of Economics and Finance
Downloads 2,856
102.

Where is the Value in High Frequency Trading?

Number of pages: 54 Posted: 21 Nov 2010 Last Revised: 17 Feb 2012
Working Paper Series
University of Oxford and Universidad Carlos III, Madrid - Business Economics Department

Multiple version iconThere are 2 versions of this paper

Downloads 2,850
103.

When Do Value Stocks Outperform Growth Stocks? Investor Sentiment and Equity Style Rotation Strategies

Number of pages: 31 Posted: 27 Jun 2003
Working Paper Series
University of Rhode Island - College of Business Administration and Bear, Stearns & Co., Inc.
Downloads 2,831
104.

High Frequency Market Making: Optimal Quoting

Number of pages: 48 Posted: 28 Sep 2013 Last Revised: 15 Jun 2017
Working Paper Series
Princeton University - Department of Economics and University of Cincinnati - Department of Finance - Real Estate

Multiple version iconThere are 2 versions of this paper

Downloads 2,828
105.

Who Drove and Burst the Tech Bubble?

Journal of Finance, Forthcoming
Number of pages: 145 Posted: 24 Oct 2003 Last Revised: 17 Nov 2010
Accepted Paper Series
University of Texas at Austin - Department of Finance, American University - Department of Finance and Real Estate, The Chinese University of Hong Kong, Shenzhen and Queen's University - Smith School of Business
Downloads 2,818
106.

Corporate Bond Market Transparency and Transaction Costs

Fifteenth Annual Utah Winter Finance Conference
Number of pages: 41 Posted: 22 Sep 2004
Working Paper Series
Securities and Exchange Commission (SEC), University of Southern California - Marshall School of Business - Finance and Business Economics Department and Government of the United States of America - Banking Committee
Downloads 2,789
107.

IPO Underpricing, Trading Volume, and Investor Interest

Number of pages: 41 Posted: 31 Aug 1998
Working Paper Series
Tulane University
Downloads 2,775
108.

Talking Numbers: Technical versus Fundamental Investment Recommendations

Journal of Banking and Finance, Volume 92, 2018, 100-114
Number of pages: 43 Posted: 22 Aug 2015 Last Revised: 08 Jun 2018
Accepted Paper Series
Interdisciplinary Center (IDC) Herzliyah, Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 2,773
109.

Forecasting Prices from Level-I Quotes in the Presence of Hidden Liquidity

Algorithmic Finance, Vol. 1, No. 1, 2011
Number of pages: 10 Posted: 14 Oct 2010 Last Revised: 11 Oct 2012
Accepted Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences, New York University (NYU) - Department of Information, Operations, and Management Sciences and Cornell Financial Engineering Manhattan
Downloads 2,744
110.

A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices

Journal of Finance, Forthcoming
Number of pages: 54 Posted: 17 Mar 2008 Last Revised: 14 Jul 2011
Accepted Paper Series
University of Notre Dame - Mendoza College of Business and University of Notre Dame - Department of Finance
Downloads 2,720
111.

How are Shorts Informed? Short Sellers, News, and Information Processing

Journal of Financial Economics, Forthcoming
Number of pages: 53 Posted: 13 Jan 2010 Last Revised: 09 Oct 2012
Working Paper Series
University of California, San Diego (UCSD) - Rady School of Management, University of North Carolina Kenan-Flagler Business School and University of Utah - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 2,719
112.

Public Oversight and Reporting Credibility: Evidence from the PCAOB Audit Inspection Regime

European Corporate Governance Institute (ECGI) - Finance Working Paper No. 453/2015, Chicago Booth Research Paper No. 15-40
Number of pages: 148 Posted: 08 Sep 2015 Last Revised: 02 Jan 2020
Working Paper Series
Stanford University Graduate School of Business, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 2,710
113.

Asset Pricing Models and Financial Market Anomalies

Number of pages: 56 Posted: 08 Dec 2003
Working Paper Series
Interdisciplinary Center (IDC) Herzliyah and Emory University - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 2,691
114.

Bid-Ask Spread Formula and Liquidity Cost: Risk and Reward of a Market Maker

Number of pages: 19 Posted: 20 Jul 2000
Working Paper Series
Quant Isle Ltd. and Bridge
Downloads 2,667
115.

What Makes Investors Trade?

Number of pages: 32 Posted: 10 Jul 2000
Working Paper Series
University of California, Los Angeles (UCLA) - Finance Area and Aalto University - School of Business
Downloads 2,634
116.

The Economics of High-Frequency Trading: Taking Stock

Annual Review of Financial Economics, Volume 8, Forthcoming
Number of pages: 28 Posted: 09 Jun 2016 Last Revised: 28 Jul 2016
Accepted Paper Series
Vrije Universiteit Amsterdam

Multiple version iconThere are 2 versions of this paper

Downloads 2,631
117.

Liquidity and Credit Default Swap Spreads

AFA 2007 Chicago Meetings Paper, EFA 2008 Athens Meetings Paper
Number of pages: 44 Posted: 03 Mar 2008 Last Revised: 22 Jan 2009
Working Paper Series
The University of Hong Kong - Faculty of Business and Economics and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)

Multiple version iconThere are 2 versions of this paper

Downloads 2,630
118.

Market Design with Blockchain Technology

Number of pages: 40 Posted: 30 May 2016 Last Revised: 27 Jul 2017
Working Paper Series
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Finance Area
Downloads 2,627
119.

Do Dark Pools Harm Price Discovery?

Forthcoming, Review of Financial Studies
Number of pages: 53 Posted: 16 Dec 2010 Last Revised: 16 Nov 2013
Accepted Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,619
120.

Index Funds and Stock Market Growth

Number of pages: 44 Posted: 20 Sep 1998
Working Paper Series
INSEAD - Finance and Yale School of Management - International Center for Finance

Multiple version iconThere are 2 versions of this paper

Downloads 2,588
121.

Days to Cover and Stock Returns

29th Australasian Finance and Banking Conference 2016
Number of pages: 63 Posted: 26 Feb 2015 Last Revised: 11 Nov 2016
Working Paper Series
Columbia University, Graduate School of Arts and Sciences, Department of Economics, Singapore Management University - Lee Kong Chian School of Business, Hong Kong Baptist University (HKBU), Columbia University and Quantitative Investment Strategies, Goldman Sachs Asset Management

Multiple version iconThere are 2 versions of this paper

Downloads 2,585
122.

Disclosure Quality and Market Liquidity

Number of pages: 23 Posted: 10 Feb 2001
Working Paper Series
University of Georgia - J.M. Tull School of Accounting, University of Missouri at Columbia - School of Accountancy and University of Wisconsin - Madison - Department of Accounting and Information Systems
Downloads 2,581
123.

Market Maker Inventories and Liquidity

AFA 2008 New Orleans Meetings Paper
Number of pages: 38 Posted: 09 Nov 2006
Working Paper Series
University of California, Berkeley - Haas School of Business, Cornell University - SC Johnson College of Business and ASU WP Carey School of Business
Downloads 2,557
124.

Legal Origins and Modern Stock Markets

Harvard Law Review, Vol. 120, pp. 460-527, 2006, Harvard Law and Economics Discussion Paper No. 563
Number of pages: 68 Posted: 16 Jun 2006 Last Revised: 16 Jan 2011
Accepted Paper Series
Harvard Law School
Downloads 2,550
125.

High Frequency Quoting: Short-Term Volatility in Bids and Offers

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 67 Posted: 24 Mar 2013 Last Revised: 02 Jul 2017
Working Paper Series
New York University (NYU) - Department of Finance
Downloads 2,522
126.

Stock Market Visualization

Journal of Risk & Control 5(1) (2018) 35-140
Number of pages: 103 Posted: 03 Jan 2018 Last Revised: 09 Apr 2018
Accepted Paper Series
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 2,514
127.

Risk Metrics and Fine Tuning of High Frequency Trading Strategies

Cartea, ÁLvaro, and Sebastian Jaimungal. "RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES." Mathematical Finance (2013).
Number of pages: 37 Posted: 26 Feb 2012 Last Revised: 27 Apr 2015
Accepted Paper Series
University of Oxford and University of Toronto - Department of Statistics

Multiple version iconThere are 2 versions of this paper

Downloads 2,498
128.

Zero-Intelligence Realized Variance Estimation

Finance and Stochastics, Vol. 14, No. 2, pp. 249-283, 2010
Number of pages: 30 Posted: 15 Mar 2007 Last Revised: 15 Mar 2010
Accepted Paper Series
CUNY Baruch College and Deutsche Bank AG (London)
Downloads 2,483
129.

Re-Examining the Hidden Costs of the Stop-Loss

Number of pages: 31 Posted: 22 Apr 2008
Working Paper Series
Verus, University of Washington - Michael G. Foster School of Business and University of Washington - Michael G. Foster School of Business
Downloads 2,471
130.

Dynamic Programming and Optimal Lookahead Strategies in High Frequency Trading with Transaction Costs

Number of pages: 25 Posted: 03 Jan 2000
Working Paper Series
Bloomberg Financial Markets (BFM)
Downloads 2,447
131.

Comatose Markets: What if Liquidity is Not the Norm?

Number of pages: 73 Posted: 22 Dec 2010 Last Revised: 11 Jan 2011
Working Paper Series
New York University - Stern School of Business
Downloads 2,388
132.

Know Your System! – Turning Data Mining from Bias to Benefit Through System Parameter Permutation

2014 NAAIM Wagner Award Winner
Number of pages: 33 Posted: 30 Apr 2014
Working Paper Series
StatisTrade
Downloads 2,388
133.

Is Information Risk a Determinant of Asset Returns?

EFA 0101
Number of pages: 51 Posted: 07 Dec 2000
Working Paper Series
Cornell University - Department of Economics, Copenhagen Business School and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,385
134.

Can Brokers Have It All? On the Relation between Make-Take Fees and Limit Order Execution Quality

Number of pages: 52 Posted: 15 Dec 2013 Last Revised: 29 Oct 2015
Working Paper Series
University of Notre Dame - Department of Finance, University of Notre Dame - Mendoza College of Business and Indiana University - Kelley School of Business - Department of Finance
Downloads 2,380
135.

Insider Trading, Earnings Quality, and Accrual Mispricing

Number of pages: 48 Posted: 26 Jul 2001
Working Paper Series
University of Texas at Dallas - Department of Accounting & Information Management and Indiana University - Kelley School of Business - Department of Accounting
Downloads 2,374
136.

An Equilibrium Model of Blockchain-Based Cryptocurrencies

Number of pages: 36 Posted: 11 Apr 2018 Last Revised: 09 Jun 2020
Working Paper Series
SKEMA Business School
Downloads 2,363
137.

A Theoretical Foundation for Technical Analysis

Journal of Technical Analysis, Vol. 59, No. 5-22, 2003
Number of pages: 17 Posted: 01 Feb 2005
Accepted Paper Series
University of Pittsburgh - Department of Mathematics and Indiana University of Pennsylvania
Downloads 2,349
138.

Do High-Frequency Traders Anticipate Buying and Selling Pressure?

Number of pages: 58 Posted: 24 Mar 2013 Last Revised: 28 Apr 2020
Working Paper Series
Nova School of Business and Economics
Downloads 2,342
139.

Other Evidences of the Predictive Power of Technical Analysis: The Moving Averages Rules on European Indexes

Number of pages: 25 Posted: 13 May 2001
Working Paper Series
Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Universite Catholique de Louvain, CeReFiM
Downloads 2,342
140.

Explaining the Discount to NAV in REIT Pricing: Noise or Information?

Number of pages: 44 Posted: 20 Feb 2001
Working Paper Series
University of Connecticut School of Business and Saint Mary's University, Canada - Department of Finance, Information Systems & Management Science
Downloads 2,340
141.

Short Selling, Death Spiral Convertibles, and the Profitability of Stock Manipulation

Number of pages: 73 Posted: 24 Mar 2005
Working Paper Series
Finnerty Economic Consulting LLC
Downloads 2,324
142.

Price Dynamics in a Markovian Limit Order Market

Number of pages: 23 Posted: 07 Jan 2011 Last Revised: 28 Mar 2012
Working Paper Series
University of Oxford and Université Paris VII Denis Diderot
Downloads 2,309
143.

Dark Trading and Price Discovery

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 54 Posted: 02 Dec 2012 Last Revised: 26 Jun 2015
Accepted Paper Series
UNSW Business School and University of Technology Sydney (UTS)
Downloads 2,296
144.

Implementation of Pairs Trading Strategies

Number of pages: 39 Posted: 25 Apr 2010 Last Revised: 12 Jan 2012
Working Paper Series
University of Amsterdam
Downloads 2,282
145.

Liquidity and Capital Structure

Journal of Financial Markets, Forthcoming, Darden Business School Working Paper
Number of pages: 49 Posted: 02 Mar 2006 Last Revised: 14 Jul 2013
Accepted Paper Series
University of Virginia - Darden School of Business and University of Alabama - Culverhouse College of Commerce & Business Administration
Downloads 2,280
146.

Corporate Dividend Policy and Behaviour: The Malaysian Experience

IIMA Working Paper No. 2001-11-01
Number of pages: 23 Posted: 12 Feb 2002
Working Paper Series
University of Delhi
Downloads 2,275
147.

High-Frequency Trading Strategies

Number of pages: 45 Posted: 25 May 2017 Last Revised: 23 Jul 2020
Working Paper Series
Babson College - Finance Division, University of Sydney Business School and University of Sydney Business School
Downloads 2,275
148.

Does Good Corporate Governance Reduce Information Asymmetry Around Quarterly Earnings Announcements?

Journal of Accounting and Public Policy, Vol. 26, No. 4, pp. 497-522, July/August 2007
Number of pages: 37 Posted: 26 Mar 2007 Last Revised: 20 Apr 2010
Accepted Paper Series
York University - Schulich School of Business, University of Houston - C.T. Bauer College of Business and Otterbein College - Department of Business, Accounting & Economics
Downloads 2,274
149.

Order Book Dynamics in Liquid Markets: Limit Theorems and Diffusion Approximations

Number of pages: 40 Posted: 20 Feb 2012 Last Revised: 05 Oct 2012
Working Paper Series
University of Oxford and Université Paris VII Denis Diderot
Downloads 2,261
150.

The Perception of Time, Risk and Return During Periods of Speculation

Number of pages: 37 Posted: 11 Jan 2002
Working Paper Series
Columbia University
Downloads 2,261