High Frequency Quote Proportion, Price Impact and Predictability of Factors-Reference-Cited by-同舟云学术

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High Frequency Quote Proportion, Price Impact and Predictability of Factors

Published:2023 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Shen Zhengliang

Publisher

Elsevier BV

Subject

General Earth and Planetary Sciences,General Environmental Science

Reference49 articles.

1. Asset pricing and the bid-ask spread;Y Amihud;Journal of Financial Economics,1986

2. Value and momentum everywhere;C S Asness;Journal Finance,2013

3. Overnight returns, daytime reversals, and future stock returns;F Akbas;Journal of Financial Economics,2022

4. Direct estimation of equity market impact. Working Paper. Brunnermeier, Markus, and Lasse Pedersen;R Almgren;Journal of Finance,2005

5. High frequency trading and price discovery;J Brogaard;Review of Financial Studies,2013

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