Clustering of Trade Prices by High-Frequency and Non-High-Frequency Trading Firms
Author:
Affiliation:
1. University of Mississippi
Publisher
Wiley
Subject
Economics and Econometrics,Finance
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/fire.12042/fullpdf
Reference32 articles.
1. An analysis of trade size clustering and its relation to stealth trading;Alexander;Journal of Financial Economics,2007
2. Price clustering on the Tokyo Stock Exchange;Ascioglu;Financial Review,2007
3. The degree of price resolution: The case of the gold market;Ball;Journal of Futures Markets,1985
4. Trade execution costs on NASDAQ and the NYSE: A post-reform comparison;Bessembinder;Journal of Financial and Quantitative Analysis,1999
5. Trade size and price clustering: The case of short sales and the suspension of price tests;Blau;Journal of Financial Research,2012
Cited by 21 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. Market structure and price clustering: Maker‐taker versus taker‐maker;Journal of Financial Research;2024-01-22
2. Dynamics of price clustering in the Pakistan stock exchange;Managerial Finance;2023-09-19
3. Round offer prices in M&A transactions: costly negotiation and psychological preference;Managerial Finance;2023-06-30
4. Trade Informativeness in Modern Markets;Financial Analysts Journal;2022-11-04
5. Modeling price clustering in high-frequency prices;Quantitative Finance;2022-03-28
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3