Search Results
Capital Markets: Market Microstructure eJournal

2,370,511 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

Viewing: 151 - 200 of 6,869 papers

151.

Transaction Costs, Trade Throughs, and Riskless Principal Trading in Corporate Bond Markets

Number of pages: 79 Posted: 18 Sep 2015 Last Revised: 24 Oct 2015
Working Paper Series
University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 2,254
152.

Factoring Information into Returns

EFA 2004 Maastricht Meetings Paper No. 4118
Number of pages: 27 Posted: 23 Jun 2004
Working Paper Series
Cornell University - Department of Economics, Copenhagen Business School and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,247
153.

Paradox, Natural Mathematics, Relativity and Twentieth-Century Ideas

Number of pages: 35 Posted: 18 Apr 2006 Last Revised: 24 Aug 2009
Working Paper Series
Independent
Downloads 2,247
154.

Realized Variance and Market Microstructure Noise

Number of pages: 58 Posted: 26 Feb 2004
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics and Aarhus University - School of Business and Social Sciences
Downloads 2,218
155.

VPIN and the Flash Crash

Journal of Financial Markets, Vol. 17, pp. 1-46, 2014
Number of pages: 44 Posted: 09 Jul 2011 Last Revised: 18 Feb 2014
Accepted Paper Series
Northwestern University - Kellogg School of Management and University of Illinois at Chicago - Department of Finance
Downloads 2,208
156.

Estimation of VAR Using Copula and Extreme Value Theory

Multinational Finance Journal, 2008, vol. 12, no. 3/4, pp. 205–218
Number of pages: 14 Posted: 15 Jun 2006 Last Revised: 19 Oct 2013
Accepted Paper Series
University of Campinas (UNICAMP) - Department of Statistics, Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration and Independent

Multiple version iconThere are 2 versions of this paper

Downloads 2,203
157.

Market Liquidity Risk - An Overview

CEFS Working Paper Series 2009 No. 4
Number of pages: 38 Posted: 19 Mar 2009 Last Revised: 18 Aug 2009
Working Paper Series
Technische Universität München (TUM) - Chair of Business and International Financial Management and Technische Universität München (TUM)
Downloads 2,195
158.

Can ETFs Increase Market Fragility? Effect of Information Linkages in ETF Markets

Number of pages: 55 Posted: 04 Mar 2016 Last Revised: 27 Apr 2018
Working Paper Series
Baruch College, The City University of New York and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,163
159.

Liquidity Risk Theory and Coherent Measures of Risk

Number of pages: 22 Posted: 03 Dec 2007
Working Paper Series
Abaxbank and University of Verona - Department of Economics
Downloads 2,158
160.

Demutualization and Corporate Governance of Stock Exchanges

Number of pages: 22 Posted: 25 Nov 2002
Accepted Paper Series
Georgetown University - Robert Emmett McDonough School of Business
Downloads 2,151
161.

Option Return Predictability

27th Annual Conference on Financial Economics and Accounting Paper, Rotman School of Management Working Paper No. 2698267
Number of pages: 66 Posted: 06 Dec 2015 Last Revised: 08 Jun 2020
Working Paper Series
The Chinese University of Hong Kong (CUHK) - CUHK Business School, University of Toronto, Rotman School of Management, School of Business, Renmin University of China and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 2,151
162.

The Fintech Market in Germany

Number of pages: 100 Posted: 16 Dec 2016 Last Revised: 02 Mar 2017
Working Paper Series
University of Regensburg - Department of Finance, University of Bremen - Faculty of Business Studies and Economics, Max Planck Institute for Innovation and Competition and University of Regensburg - Department of Finance
Downloads 2,148
163.

How to Clean Enhanced TRACE Data

Number of pages: 25 Posted: 10 Oct 2013 Last Revised: 03 Dec 2014
Working Paper Series
Copenhagen Business School - Department of Finance
Downloads 2,146
164.

Stock Market Trading Volume

THE HANDBOOK OF FINANCIAL ECONOMETRICS, Y. A¨ıt-Sahalia and L. Hansen, eds., New York: North-Holland, 2009
Number of pages: 110 Posted: 16 May 2009
Accepted Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,129
165.

Venture Capital and IPO Lockup Expiration: An Empirical Analysis

Number of pages: 52 Posted: 14 Sep 2000
Accepted Paper Series
University of Florida, University of South Florida, Appalachian State University - John A. Walker College of Business and Texas State University, San Marcos - Department of Finance and Economics
Downloads 2,127
166.

Machine Learning for Volatility Trading (Presentation Slides)

Number of pages: 34 Posted: 14 Jun 2018
Working Paper Series
Quantica Capital AG
Downloads 2,115
167.

Do Ichimoku Cloud Charts Work and Do They Work Better in Japan?

International Federation of Technical Analysts Journal, 2016 Edition, Forthcoming
Number of pages: 7 Posted: 09 Jul 2015 Last Revised: 06 Nov 2015
Accepted Paper Series
University College London - Department of Economics, University College London - Department of Economics and University College London - Department of Economics
Downloads 2,111
168.

A Study of the Indian Corporate Bond Market

Money & Finance, Vol. 2, No. 12, January-March 2003
Number of pages: 27 Posted: 01 Aug 2003
Accepted Paper Series
ICRA Ltd and Indian Statistical Institute, New Delhi - Economic Research Unit
Downloads 2,110
169.

The Effect of Reporting Frequency on the Timeliness of Earnings: The Cases of Voluntary and Mandatory Interim Reports

LBS Working Paper No. 037
Number of pages: 50 Posted: 18 Jul 2002
Working Paper Series
AlixPartners LLP, City University London - Cass Business School and University of Chicago - Graduate School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 2,108
170.

Have We Solved the Idiosyncratic Volatility Puzzle?

Journal of Financial Economics (JFE), Forthcoming, Charles A. Dice Center Working Paper No. 2012-28, Fisher College of Business Working Paper No. 2012-03-028
Number of pages: 63 Posted: 18 Dec 2012 Last Revised: 02 Oct 2015
Accepted Paper Series
Ohio State University (OSU) - Department of Finance and Singapore Management University - Lee Kong Chian School of Business
Downloads 2,101
171.

How Rigged Are Stock Markets? Evidence from Microsecond Timestamps

UC Berkeley Public Law Research Paper No. 2812123, Journal of Financial Markets 45: 37-60 (2019)
Number of pages: 63 Posted: 21 Jul 2016 Last Revised: 20 Mar 2020
Accepted Paper Series
University of California, Berkeley - School of Law and Columbia University - Law School

Multiple version iconThere are 2 versions of this paper

Downloads 2,093
172.

The Informational Content of an Open Limit Order Book

Number of pages: 38 Posted: 19 Jul 2004
Working Paper Series
Pennsylvania State University, Pennsylvania State University and Southern Illinois University
Downloads 2,080
173.

The Empirical Relationship between Stock Returns, Return Volatility and Trading Volume in the Brazilian Stock Market

Number of pages: 14 Posted: 22 Apr 2006
Working Paper Series
University of Brasilia and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 2,079
174.

Equilibrium Fast Trading

AFA 2013 San Diego Meetings Paper, HEC Paris Research Paper No. 968/2013
Number of pages: 57 Posted: 19 Mar 2012 Last Revised: 23 Feb 2018
Working Paper Series
University of Toulouse 1 - Toulouse School of Economics (TSE), HEC Paris - Finance Department and Toulouse School of Economics
Downloads 2,077
175.

Liquidity in U.S. Fixed Income Markets: A Comparison of the Bid-Ask Spread in Corporate, Government and Municipal Bond Markets

FRB of New York Staff Report No. 73
Number of pages: 43 Posted: 04 Jun 1999
Working Paper Series
Purdue University and Federal Reserve Bank of New York
Downloads 2,072
176.

Multiperiod Portfolio Selection and Bayesian Dynamic Models

Risk, Vol. 28, Issue 3, p 50-54, March 2015
Number of pages: 8 Posted: 28 Jul 2014 Last Revised: 04 Dec 2017
Accepted Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 2,071
177.

Was the Introduction of IFRS in Europe Value-Relevant?

Number of pages: 36 Posted: 05 Dec 2006
Working Paper Series
ESADE - Ramon Llull University and University of London - Royal Holloway College
Downloads 2,068
178.

The Flash Crash: A New Deconstruction

Number of pages: 53 Posted: 26 Jan 2016 Last Revised: 10 May 2017
Working Paper Series
University of California, Santa Cruz, Stanford University Law School and Yale University
Downloads 2,064
179.

Optimal Trading Strategies for Ito Diffusion Processes

Physica A: Statistical Mechanics and its Applications, Vol. 388, pp. 2865-2873, 2009
Number of pages: 17 Posted: 02 Apr 2009 Last Revised: 11 May 2009
Accepted Paper Series
ITG Australia Limited
Downloads 2,058
180.

Supply Chain Structures on the Internet: Marketing-Operations Coordination

Number of pages: 32 Posted: 13 Jan 2001
Working Paper Series
The Wharton School, University of Pennsylvania and INSEAD - Technology and Operations Management
Downloads 2,055
181.

Optimal Trade Execution under Geometric Brownian Motion in the Almgren and Chriss Framework

International Journal of Theoretical and Applied Finance, Vol. 14, No. 3, pp. 353-368, 2011
Number of pages: 14 Posted: 06 Aug 2010 Last Revised: 03 Oct 2012
Accepted Paper Series
CUNY Baruch College and University of Waterloo
Downloads 2,054
182.

How Disclosure Quality Affects the Level of Information Asymmetry

Review of Accounting Studies, Forthcoming
Number of pages: 53 Posted: 12 Jan 2007
Accepted Paper Series
University of Maryland - Department of Accounting & Information Assurance and Arizona State University (ASU) - W. P. Carey School of Business, School of Accountancy
Downloads 2,050
183.

Statistical Arbitrage: Medium Frequency Portfolio Trading

Number of pages: 27 Posted: 25 Jun 2013 Last Revised: 09 Jul 2013
Working Paper Series
Independent
Downloads 2,049
184.

The Effect of ETFs on Stock Liquidity

Number of pages: 51 Posted: 08 Oct 2010 Last Revised: 23 Apr 2014
Working Paper Series
Tulane University - A.B. Freeman School of Business
Downloads 2,045
185.

The Principles and Practice of Derivatives Price Verification

Number of pages: 8 Posted: 11 May 2001
Working Paper Series
Columbia University
Downloads 2,039
186.

Back-Running: Seeking and Hiding Fundamental Information in Order Flows

Review of Financial Studies, Forthcoming
Number of pages: 65 Posted: 24 Mar 2015 Last Revised: 02 Jun 2019
Accepted Paper Series
University of Toronto - Rotman School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,034
187.

The Diversity of High-Frequency Traders

Number of pages: 56 Posted: 27 Sep 2012 Last Revised: 20 May 2013
Working Paper Series
Stockholm University - Stockholm Business School and Stockholm University - Stockholm Business School
Downloads 2,015
188.

The Flash Crash: A Cautionary Tale about Highly Fragmented Markets

Management Science, Forthcoming
Number of pages: 39 Posted: 04 Apr 2013 Last Revised: 05 Jan 2018
Accepted Paper Series
Vrije Universiteit Amsterdam and INSEAD - Finance
Downloads 2,008
189.

Commonality in Liquidity

Number of pages: 43 Posted: 16 Mar 1999
Working Paper Series
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology

Multiple version iconThere are 2 versions of this paper

Downloads 1,986
190.

Market Maker Inventories and Stock Prices

Number of pages: 46 Posted: 15 Mar 2006
Working Paper Series
University of California, Berkeley - Haas School of Business and ASU WP Carey School of Business
Downloads 1,973
191.

Intra-Daily Volume Modeling and Prediction for Algorithmic Trading

Number of pages: 39 Posted: 24 Apr 2009 Last Revised: 19 Feb 2010
Working Paper Series
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni) and Corte dei Conti - Italian Court of Audits
Downloads 1,969
192.

Common Factors in Prices, Order Flows and Liquidity

EFA 0303
Number of pages: 32 Posted: 20 Apr 1999
Working Paper Series
New York University (NYU) - Department of Finance and Carnegie Mellon University - David A. Tepper School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,963
193.

Do Liquidity Measures Measure Liquidity?

Journal of Financial Economics (JFE), Vol. 92, No. 153-181, 2009
Number of pages: 68 Posted: 24 Mar 2008 Last Revised: 02 Sep 2017
Accepted Paper Series
McGill University - Desautels Faculty of Management, Indiana University - Kelley School of Business - Department of Finance and Indiana University - Kelley School of Business - Department of Finance
Downloads 1,958
194.

Yahoo! For Amazon: Sentiment Parsing from Small Talk on the Web

EFA 2001 Barcelona Meetings
Number of pages: 45 Posted: 11 Jul 2001 Last Revised: 17 Nov 2015
Accepted Paper Series
Santa Clara University - Leavey School of Business and University of California, Berkeley
Downloads 1,948
195.

Central Clearing and Risk Transformation

Norges Bank Working Paper 3/2017
Number of pages: 21 Posted: 20 Apr 2017
Working Paper Series
University of Oxford
Downloads 1,937
196.

High-Frequency Trading

Johnson School Research Paper Series No. #20-2013
Number of pages: 15 Posted: 13 Jun 2013
Working Paper Series
Emory University - Department of Finance, University of Lausanne, University of California, San Diego and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 1,935
197.

Does Motivation Matter When Assessing Trade Performance? An Analysis of Mutual Funds

AFA 2005 Philadelphia Meetings Paper
Number of pages: 45 Posted: 30 Dec 2004
Working Paper Series
University of Minnesota - Twin Cities - Carlson School of Management, University of Kansas - School of Business and College of William and Mary - Mason School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,928
198.

Long-Run Performance of Initial Public Offerings (Ipos) in the Spanish Capital Market

Number of pages: 42 Posted: 18 Jun 2001
Working Paper Series
Universidad de Oviedo - Business Administration and Universidad de Oviedo - Business Administration
Downloads 1,923
199.

Machine Learning and Algorithmic Trading: In Fixed Income Markets

Number of pages: 5 Posted: 05 Aug 2013 Last Revised: 09 Aug 2013
Working Paper Series
Carnegie Mellon University
Downloads 1,922
200.

Insider Trading and the Bid-Ask Spread: A Critical Evaluation of Adverse Selection in Market Making

Capital University Law Review, Vol. 33, pp. 83-180, 2004
Number of pages: 98 Posted: 12 Dec 2003
Working Paper Series
Decimus Capital Markets, LLC
Downloads 1,913