Suchergebnisse
Filter
Format
Medientyp
Sprache
Weitere Sprachen
Jahre
4132 Ergebnisse
Sortierung:
SSRN
Working paper
Mean-Variance Optimization for Simulation of Order Flow
In: Kolm, Petter N. and Westray, Nicholas, Mean-Variance Optimization for Simulation of Order Flow (May, 2022). The Journal of Portfolio Management, to Appear, 2022
SSRN
Adaptive Order Flow Forecasting with Multiplicative Error Models
In: Mihoci, A., Ting, CA., Lu, MJ. et al. Adaptive order flow forecasting with multiplicative error models. Digit Finance 4, 89–108 (2022). https://doi.org/10.1007/s42521-021-00047-1
SSRN
DO DEALERS INFER INFORMATION FROM ORDER FLOW?
In: The journal of financial research: the journal of the Southern Finance Association and the Southwestern Finance Association, Band 30, Heft 2, S. 181-200
ISSN: 1475-6803
AbstractI examine strategic behavior among dealers in the NASDAQ market and document that there is a lead quote‐setting dealer in each security and that the quotes posted by this leader are informative. Other dealers free‐ride this information by following the lead quote‐setting dealer. The lead dealer can be identified by two information signals: (1) percentage of time spent on the inside market (i.e., posting inside quotes), and (2) trade volume transacted. Dealers that free‐ride the leader's quotes quickly update their posted quotes in the same direction as the leader's quote change. My findings suggest that directing trade to the lead dealer may be more advantageous than randomly routing trade.
Order flow analyses and foreign exchange dealing
In: Studien zu internationalen Wirtschaftsbeziehungen 4
Intraday patterns in FX returns and order flow
In: Swiss National Bank working papers 2011,4
Order Flow Volatility and Equity Costs of Capital
In: Management Science, Forthcoming
SSRN
Cross-Impact of Order Flow Imbalance in Equity Markets
In: Quantitative Finance, 2023, Vol. 23, No. 10, 1373–1393
SSRN
SSRN
Competition for Retail Order Flow and Market Quality
SSRN
Informed and strategic order flow in the bond markets
In: International finance discussion papers 874
End-User Order Flow and Exchange Rate Dynamics
In: Bundesbank Series 1 Discussion Paper No. 2007,05
SSRN
SSRN
Siphoned Apart: A Portfolio Perspective on Order Flow Segmentation
In: Journal of Financial Economics (JFE), Band 154 (April 2024)
SSRN
Multi-Asset Market Impact and Order Flow Commonality
SSRN
Working paper