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Noise trading and the price formation process · Study

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ArticleNoise trading and the price formation process

Henk Berkman2007

Article2007

Noise trading and the price formation process

Henk Berkman · Paul D. Koch

21 citations·0/0 files stored·Journal of Empirical Finance

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1985Continuous Auctions and Insider Trading 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1988A Theory of Intraday Patterns: Volume and Price Variability 1987Price, trade size, and information in securities markets 1968The Cost of Transacting 1991Measuring the Information Content of Stock Trades 2002Is Information Risk a Determinant of Asset Returns?1988Estimating the components of the bid/ask spread

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2009Does Noise Signal Affect Flipping Activities?

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Year2007

Typearticle

Published2007-05-25

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations21

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jempfin.2006.10.005

openalex_workW2084480240

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