A New Estimation for Informed Trading Based on SSNF Method
Author:
Publisher
Springer Science and Business Media LLC
Subject
Information Systems,Computer Science (miscellaneous)
Link
http://link.springer.com/article/10.1007/s11424-017-6278-2/fulltext.html
Reference59 articles.
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3. Huang R and Stoll H, Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE, Journal of Financial Economics, 1996, 41(3): 313–357.
4. Huang R and Stoll H, The components of bid-ask spread: A general approach, The Review of Financial Studies, 1997, 10(4): 995–1034.
5. Madhavan A, Richardson M, and Roomans M, Why do security prices change? A transactionlevel analysis of NYSE stocks, The Review of Financial Studies, 1997, 10(4): 1035–1064.
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