Re-Appraising Intraday Trading Patterns: What You Didn't Know You Didn't Know-Reference-Cited by-同舟云学术

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Re-Appraising Intraday Trading Patterns: What You Didn't Know You Didn't Know

Published:2018 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Barardehi Yashar,Bernhardt Dan

Publisher

Elsevier BV

Reference48 articles.

1. Trading networks;L Adamic;The Econometrics Journal,2017

2. A theory of intraday patterns: volume and price variability;A R Admati;Review of Financial Studies,1988

3. Do Proxies for Informed Trading Measure Informed Trading? Evidence from Illegal Insider Trades;K Ahern;The Review of Asset Pricing Studies,2020

4. Value under liquidation;R Almgren;Risk,1999

5. Optimal execution of portfolio transactions;R Almgren;Journal of Risk,2001

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Equilibrium effects of intraday order-splitting benchmarks;Mathematics and Financial Economics;2020-09-04

2. The Conduits of Price Discovery: A Machine Learning Approach;SSRN Electronic Journal;2020

3. Smart TWAP Trading in Continuous-Time Equilibria;SSRN Electronic Journal;2018

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