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Flash crash, liquidity, flow toxicity, market microstructure, VPIN
Flash crash, liquidity, flow toxicity, volume imbalance, market microstructure, probability of informed trading, VPIN
high frequency trading, volume clock, low frequency trading, market microstructure
Liquidity Provision, Flow Toxicity, Market Microstructure, VPIN
Trade Classification, Bulk Volume Classification, flow toxicity, volume imbalance, market microstructure
liquidity, flow toxicity, broker, VWAP, market microstructure, adverse selection, probability of informed trading, VPIN, OEH
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Flash crash, liquidity, flow toxicity, market microstructure, probability of informed trading, VPIN
C51, C53, G10, G12, G14, Arrival rates, informed trades, uninformed trades, autoregressive process, market depth, liquidity
market structure, stock exchange, trading volume, transparency, information, latency, technology upgrade
Price Data Selling, Cost of Capital, Liquidity, Volatility, Information Acquisition, Complementarities
liquidity, uncertainty, subprime crisis, fair value accounting
Market Selection Hypothesis, Subjective Beliefs, General Equilibrium, Incomplete Markets, Complete Markets
Opaque trading, asset prices, welfare, regulation
loss aversion; narrow framing; Epstein-Zin preferences; market selection; asset prices
G1, G2, D8
Stock splits, market microstructure, information asymmetry, optimal tick size, trading range
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