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Informed Trading, Flow Toxicity and the Impact on Intraday Trading Factors
16 references·1 citing·48 second hop
Informed Trading, Flow Toxicity and the Impact on Intraday Trading Factors (2013)Informed Trading, Flow Toxicity and the I…Empirical Market Microstructure (2011)Empirical Market Microstructu…Information based trade, the PIN variable, and portfolio style differences: Evidence from Tokyo stock exchange firms (2008)Information based trade, the …Empirical Market Microstructure (2007)Empirical Market Microstructu…Financial econometric analysis at ultra-high frequency: Data handling concerns (2006)Financial econometric analysi…Measuring the strength of cointegration and Granger-causality (2005)Measuring the strength of coi…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesConference calls and information asymmetry (2004)Conference calls and informat…Measuring the Strength of Cointegration and Granger-Causality (2003)Measuring the Strength of Coi…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…Is Information Risk a Determinant of Asset Returns? (2002)Is Information Risk a Determi…Order Flow, Transaction Clock, and Normality of Asset Returns (2000)Order Flow, Transaction Clock…Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…The optimal lag selection and transfer function analysis in Granger causality tests (1989)The optimal lag selection and…Lag length selection and Granger causality (1984)Lag length selection and Gran…Autoregressive Modeling of Canadian Money and Income Data (1979)Autoregressive Modeling of Ca…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…VPIN, liquidity, and return volatility in the U.S. equity markets (2019)VPIN, liquidity, and return v…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)MONEY, INCOME, AND CAUSALITY (1972)Book Review: Time Series Analysis: Forecasting and Control (1977)Non-causality due to omitted variables (1982)Application of neural networks to an emerging financial market: forecasting and trading the Taiwan Stock Index (2002)Tourism and Economic Growth: The Case of Mauritius (2004)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Inferring Trade Direction from Intraday Data (1991)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Realized kernels in practice: trades and quotes (2009)Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading (2010)Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models (2010)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Asset pricing and the bid-ask spread (1986)Liquidity and stock returns: An alternative test (1998)Information and the Cost of Capital (2004)The Variation of Certain Speculative Prices (1963)The Behavior of Stock-Market Prices (1965)The variation of certain speculative prices (1997)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Brownian Motion and Stochastic Calculus (2007)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Expected Stock Returns and Variance Risk Premia (2009)The Econometrics of Financial Markets (2012)The Analysis of Economic Time-Series-Part I: Prices (1953)The Random Character of Stock Market Prices (1968)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Pricing of Options on Assets with Stochastic Volatilities (1987)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Industry costs of equity (1997)Deviations from Put-Call Parity and Stock Return Predictability (2010)Earnings conference calls and stock returns: The incremental informativeness of textual tone (2011)Testing Asymmetric-Information Asset Pricing Models (2012)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)Asset pricing with liquidity risk (2005)Introductory Econometrics for Finance (2008)Does Algorithmic Trading Improve Liquidity? (2011)High-Frequency Trading and Price Discovery (2014)
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References

  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 2002Is Information Risk a Determinant of Asset Returns?1,862 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 2005A Tale of Two Time Scales1,312 cited
  • 2007Empirical Market Microstructure540 cited
  • 2004Conference calls and information asymmetry484 cited
  • 2000Order Flow, Transaction Clock, and Normality of Asset Returns420 cited
  • 1979Autoregressive Modeling of Canadian Money and Income Data366 cited
  • 2006Financial econometric analysis at ultra-high frequency: Data handling concerns291 cited
  • 2011Empirical Market Microstructure125 cited
  • 2008Information based trade, the PIN variable, and portfolio style differences: Evidence from Tokyo stock exchange firms33 cited
  • 1989The optimal lag selection and transfer function analysis in Granger causality tests31 cited
  • 2003Measuring the Strength of Cointegration and Granger-Causality11 cited
  • 1984Lag length selection and Granger causality9 cited

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  • 2005Measuring the strength of cointegration and Granger-causality8 cited
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    • 2019VPIN, liquidity, and return volatility in the U.S. equity markets15 cited