Nothing Special   »   [go: up one dir, main page]
create a website
Limit order books, uninformed traders and commodity derivatives: Insights from the European carbon futures. (2019). Rannou, Yves.
In: Economic Modelling.
RePEc:eee:ecmode:v:81:y:2019:i:c:p:387-410.

Full description at Econpapers || Download paper

Cited: 3

Citations received by this document

Cites: 34

References cited by this document

Cocites: 59

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. The interrelationship between the carbon market and the green bonds market: Evidence from wavelet quantile-on-quantile method. (2022). Lu, Zudi ; Wen, Fenghua ; Yan, Cheng ; Li, Yiying ; Ren, Xiaohang.
    In: Technological Forecasting and Social Change.
    RePEc:eee:tefoso:v:179:y:2022:i:c:s0040162522001433.

    Full description at Econpapers || Download paper

  2. Asymmetric effects of decomposed oil-price shocks on the EU carbon market dynamics. (2022). Qi, Yinshu ; Ren, Xiaohang ; Duan, Kun ; Li, Yiying.
    In: Energy.
    RePEc:eee:energy:v:254:y:2022:i:pb:s0360544222010751.

    Full description at Econpapers || Download paper

  3. Green Bond market vs. Carbon market in Europe : Two different trajectories but some complementarities. (2020). Rannou, Yves ; Boutabba, Mohamed ; Barneto, Pascal.
    In: Working Papers.
    RePEc:hal:wpaper:hal-02981422.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Berkman, H. ; Koch, P.D. Noise trading and the price formation process. 2008 J. Empir. Financ.. 15 232-250

  2. Biais, B. ; Hillion, P. ; Spatt, C. An empirical analysis of the limit order book and the order flow in Paris Bourse. 1995 J. Financ.. 50 1655-1689

  3. Bloomfield, R.J. ; O’Hara, M. ; Saar, G. How noise trading affects markets: an experimental analysis?. 2009 Rev. Financ. Stud.. 22 2275-2302

  4. Boco, H. ; Germain, L. ; Rousseau, F. Heterogeneous noisy beliefs and dynamic competition in financial markets. 2016 Econ. Modell.. 54 347-363

  5. Chevallier, J. ; Ielpo, F. ; Mercier, L. Risk aversion and institutional information disclosure on the European carbon market: a case study of the 2006 compliance event. 2009 Energy Policy. 37 15-28

  6. Colla, P. ; Germain, M. ; van Steenberghe, V. Environmental policy and speculation on markets for emission permits. 2012 Economica. 79 152-182

  7. Comerton-Forde, C. ; Putniņš, T.J. ; Tang, K.M. Why do traders choose to trade anonymously?. 2011 J. Financ. Quant. Anal.. 46 1025-1049

  8. Foucault, T. Order flow composition and trading costs in a dynamic limit order market. 1999 J. Financ. Mark.. 2 99-134

  9. Frino, A. ; Kruk, J. ; Lepone, A. Liquidity and transaction costs in the European carbon futures market. 2010 J. Deriv. Hedge Funds. 16 100-115
    Paper not yet in RePEc: Add citation now
  10. Galariotis, E. ; Kalaitzoglou, I. ; Kosmidou, K. ; Papaeftthimiou, S. ; Spyrou, S. Could market making be profitable in the European carbon market?. 2018 Energy J.. -
    Paper not yet in RePEc: Add citation now

  11. Glosten, L.R. Is the electronic open limit order book inevitable?. 1994 J. Finan.. 49 1127-1161

  12. Goettler, R. ; Parlour, C. ; Rajan, U. Equilibrium in a dynamic limit order market. 2005 J. Financ.. 60 2149-2192

  13. Gomber, P. ; Clapham, B. ; Haferkorn, M. ; Panz, S. ; Jentsch, P. Ensuring market integrity and stability: circuit breakers on international trading venues. 2017 J. Trading. 12 42-54
    Paper not yet in RePEc: Add citation now

  14. Han, B. ; Tang, Y. ; Yang, L. Public information and uninformed trading: implications for market liquidity and price efficiency. 2016 J. Econ. Theory. 163 604-643

  15. Handa, P. ; Schwartz, R.A. ; Tiwari, A. Quote setting and price formation in an order driven market. 2003 J. Financ. Mark.. 6 461-489

  16. Harris, L. ; Hasbrouck, J. Market vs. limit orders: the SuperDOT evidence on order submission strategy. 2006 J. Financ. Quant. Anal.. 31 213-231
    Paper not yet in RePEc: Add citation now

  17. Hsu, C.-H. ; Lee, H.-C. Insider trading and information revelation with the introduction of futures markets. 2014 Econ. Modell.. 43 173-182

  18. Huang, R.D. ; Stoll, H.R. The components of the bid–ask spread: a general approach. 1997 Rev. Financ. Stud.. 10 995-1034

  19. Ibikunle, G. ; Gregoriou, A. ; Pandit, N.R. Price discovery and trading after hours: new evidence from the world’s largest carbon exchange. 2013 Int. J. Econ. Bus.. 20 421-445

  20. Ibikunle, G. ; Gregoriou, A. ; Pandit, N.R. Price impact of block trades: the curious case of downstairs trading in the EU emissions futures market. 2016 Eur. J. Financ.. 22 120-142

  21. Ibrahim, B.M. ; Kalaitzoglou, I. Why do carbon prices and price volatility change?. 2016 J. Bank. Financ.. 63 76-94

  22. Kalaitzoglou, I. ; Ibrahim, B.M. Does order flow in the European carbon allowances market reveal information?. 2013 J. Financ. Mark.. 16 604-635

  23. Katusiime, L. ; Shamsuddin, A. ; Agbola, F.W. Macroeconomic and market microstructure modelling of Ugandan exchange rate. 2015 Econ. Modell.. 45 175-186

  24. Kovaleva, P. ; Iori, G. Optimal Trading Strategies in a Limit Order Market with Imperfect Liquidity. 2012 Department of Economics: City University London

  25. Madhavan, A. ; Richardson, M. ; Roomans, M. Why do security prices change? A transaction-level analysis of NYSE Stocks. 1997 Rev. Financ. Stud.. 10 1035-1064

  26. Marshall, B.R. ; Nguyen, N. ; Visaltanachoti, N.H. Commodity liquidity measurement and transaction costs. 2011 Rev. Financ. Stud.. 25 599-638
    Paper not yet in RePEc: Add citation now

  27. Medina, V. ; Pardo, A. ; Pascual, R. The timeline of trading frictions in the European carbon market. 2014 Energy Econ.. 42 378-394

  28. Mizrach, B. ; Otsubo, Y. The market microstructure of the European climate exchange. 2014 J. Bank. Financ.. 39 107-116

  29. Muni Toke, I. Reconstruction of order flows using aggregated data. 2016 Mark. Microstruct. Liquidity. 2 -

  30. Narayan, P.K. ; Sharma, S.S. Is carbon emissions trading profitable?. 2015 Econ. Modell.. 47 84-92

  31. Palao, F. ; Pardo, A. What makes carbon traders cluster their orders?. 2014 Energy Econ.. 43 158-165

  32. Rosu, I. Dynamic Adverse Selection and Liquidity. Working Paper. Cahier de Recherche Groupe HEC. 2018 :
    Paper not yet in RePEc: Add citation now
  33. Van Ness, B.F. ; Van Ness, R.A. ; Warr, R.S. How well do adverse selection components measure adverse selection?. 2001 Financ. Manag.. 30 5-30
    Paper not yet in RePEc: Add citation now

  34. Van Ness, B.F. ; Van Ness, R.A. ; Warr, R.S. The impact of market-maker concentration on adverse selection costs for NASDAQ stocks. 2005 J. Financ. Res.. 28 461-485

Cocites

Documents in RePEc which have cited the same bibliography

  1. Who pays the liquidity cost? Central bank announcements and adverse selection. (2023). Yu, Jinyoung ; Webb, Robert I ; Ryu, Doojin.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:43:y:2023:i:7:p:904-924.

    Full description at Econpapers || Download paper

  2. How noise trading affects informational efficiency: Evidence from an order-driven market. (2021). Kalev, Petko S ; Zhang, Chris H.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x21001128.

    Full description at Econpapers || Download paper

  3. Noise trading and informational efficiency. (2019). Frijns, Bart ; Zhang, Chris H.
    In: EconStor Preprints.
    RePEc:zbw:esprep:198037.

    Full description at Econpapers || Download paper

  4. Limit order books, uninformed traders and commodity derivatives: Insights from the European carbon futures. (2019). Rannou, Yves.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:81:y:2019:i:c:p:387-410.

    Full description at Econpapers || Download paper

  5. Portfolio liquidation under transient price impact -- theoretical solution and implementation with 100 NASDAQ stocks. (2019). Tran, Hoang Hai ; Horst, Ulrich ; Chen, Ying.
    In: Papers.
    RePEc:arx:papers:1912.06426.

    Full description at Econpapers || Download paper

  6. National culture, population age, and other country factors in volume–price volatility relationship. (2017). Hua, Wei ; Wei, Peihwang .
    In: Global Finance Journal.
    RePEc:eee:glofin:v:32:y:2017:i:c:p:83-96.

    Full description at Econpapers || Download paper

  7. Does PIN measure information? Informed trading effects on returns and liquidity in six emerging markets. (2015). Agudelo, Diego ; Villarraga, Edwin ; Giraldo, Santiago .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:39:y:2015:i:c:p:149-161.

    Full description at Econpapers || Download paper

  8. How do designated market makers create value for small-caps?. (2013). Menkveld, Albert ; Wang, Ting.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:16:y:2013:i:3:p:571-603.

    Full description at Econpapers || Download paper

  9. Capital gains tax, supply-driven trading and ownership structure: direct evidence of the lock-in effect. (2013). Hanlon, Dean ; Pinder, Sean .
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:53:y:2013:i:2:p:419-439.

    Full description at Econpapers || Download paper

  10. Limited attention and news arrival in limit order markets.. (2013). Dugast, Jérôme.
    In: Working papers.
    RePEc:bfr:banfra:449.

    Full description at Econpapers || Download paper

  11. Informed arbitrage with speculative noise trading. (2010). Wang, Albert F..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:2:p:304-313.

    Full description at Econpapers || Download paper

  12. A Dynamic Model of the Limit Order Book. (2009). Rosu, Ioanid.
    In: Post-Print.
    RePEc:hal:journl:hal-00515873.

    Full description at Econpapers || Download paper

  13. The impact of liquidity shocks through the limit order book. (2008). Wuyts, Gunther .
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200853.

    Full description at Econpapers || Download paper

  14. Thought and Behavior Contagion in Capital Markets. (2008). Teoh, Siew Hong ; Hirshleifer, David.
    In: MPRA Paper.
    RePEc:pra:mprapa:9164.

    Full description at Econpapers || Download paper

  15. Whose trades convey information? Evidence from a cross-section of traders. (2007). Schmeling, Maik ; Menkhoff, Lukas.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-357.

    Full description at Econpapers || Download paper

  16. Modeling Electronic FX Brokerage as a Fast Order-Driven Marketunder Heterogeneous Private Values and Information. (2007). Derviz, Alexis.
    In: Working Papers IES.
    RePEc:fau:wpaper:wp2007_16.

    Full description at Econpapers || Download paper

  17. Order aggressiveness and order book dynamics. (2006). Hall, Anthony ; Hautsch, Nikolaus.
    In: Empirical Economics.
    RePEc:spr:empeco:v:30:y:2006:i:4:p:973-1005.

    Full description at Econpapers || Download paper

  18. How large is liquidity risk in an automated auction market?. (2006). Grammig, Joachim ; Giot, Pierre.
    In: Empirical Economics.
    RePEc:spr:empeco:v:30:y:2006:i:4:p:867-887.

    Full description at Econpapers || Download paper

  19. Liquidity supply and adverse selection in a pure limit order book market. (2006). Grammig, Joachim ; Frey, Stefan.
    In: Empirical Economics.
    RePEc:spr:empeco:v:30:y:2006:i:4:p:1007-1033.

    Full description at Econpapers || Download paper

  20. Price Discovery in Currency Markets. (2006). Osler, Carol ; Menkhoff, Lukas ; Mende, Alexander.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-351.

    Full description at Econpapers || Download paper

  21. The Components of the Bid-Ask Spread: The case of the Athens Stock Exchange. (2006). Angelidis, Timotheos ; Benos, Alexandros .
    In: Working Papers.
    RePEc:crt:wpaper:0615.

    Full description at Econpapers || Download paper

  22. Estimating quadratic variation when quoted prices jump by a constant increment. (2005). Large, Jeremy.
    In: Economics Papers.
    RePEc:nuf:econwp:0505.

    Full description at Econpapers || Download paper

  23. Optimal Trading Strategy and Supply/Demand Dynamics. (2005). Obizhaeva, Anna ; Wang, Jiang.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11444.

    Full description at Econpapers || Download paper

  24. The speed of limit order execution in the Spanish stock exchange. (2005). Gava, Luana.
    In: DEE - Working Papers. Business Economics. WB.
    RePEc:cte:wbrepe:wb057718.

    Full description at Econpapers || Download paper

  25. Order Submission: The Choice between Limit and Market Orders. (2005). Lo, Ingrid ; Sapp, Stephen G..
    In: Staff Working Papers.
    RePEc:bca:bocawp:05-42.

    Full description at Econpapers || Download paper

  26. A piecewise linear model for trade sign inference. (2004). Blazejewski, Adam ; Coggins, Richard .
    In: Finance.
    RePEc:wpa:wuwpfi:0412012.

    Full description at Econpapers || Download paper

  27. A local non-parametric model for trade sign inference. (2004). Blazejewski, Adam ; Coggins, Richard .
    In: Finance.
    RePEc:wpa:wuwpfi:0408009.

    Full description at Econpapers || Download paper

  28. A Statistical Analysis of Intraday Liquidity, Returns and Volatility of an Individual Stock from the Istanbul Stock Exchange. (2004). Ekinci, Cumhur.
    In: Finance.
    RePEc:wpa:wuwpfi:0305006.

    Full description at Econpapers || Download paper

  29. A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market. (2004). Hall, Anthony ; Hautsch, Nikolaus.
    In: Research Paper Series.
    RePEc:uts:rpaper:121.

    Full description at Econpapers || Download paper

  30. Does Anonymity Matter in Electronic Limit Order Markets?. (2004). Theissen, Erik ; Moinas, Sophie ; Foucault, Thierry.
    In: Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems.
    RePEc:trf:wpaper:3.

    Full description at Econpapers || Download paper

  31. Cancellation and Uncertainty Aversion on Limit Order Books. (2004). Large, Jeremy.
    In: Economics Papers.
    RePEc:nuf:econwp:045.

    Full description at Econpapers || Download paper

  32. High-Frequency Principal Components and Evolution of Liquidity in a Limit Order Market. (2004). Tyurin, Konstantin.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:579.

    Full description at Econpapers || Download paper

  33. Understanding limit order book depth: conditioning on trade informativeness. (2004). Menkveld, Albert ; BELTRAN, Helena .
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:142.

    Full description at Econpapers || Download paper

  34. Volatility regimes and the provisions of liquidity in order book markets. (2004). Giot, Pierre ; Durré, Alain ; Helena, BELTRAN.
    In: Discussion Papers (ECON - Département des Sciences Economiques).
    RePEc:ctl:louvec:2005015.

    Full description at Econpapers || Download paper

  35. IMPACTO SOBRE EL MERCADO BURSATIL ESPAÑOL DE LOS CAMBIOS EN LAS VARIACIONES MÍNIMAS DE PRECIOS TRAS LA INTRODUCCIÓN DEL EURO. (2003). Abad, David ; Tapia, Mikel.
    In: Working Papers. Serie EC.
    RePEc:ivi:wpasec:2003-17.

    Full description at Econpapers || Download paper

  36. Limit Order Book as a Market for Liquidity. (2003). Kandel, Eugene ; Foucault, Thierry ; Kadan, Ohad.
    In: Discussion Paper Series.
    RePEc:huj:dispap:dp321.

    Full description at Econpapers || Download paper

  37. Does anonymity matter in electronic limit order markets ?. (2003). Theissen, Erik ; Moinas, Sophie ; Foucault, Thierry ; Thierry, FOUCAULT ; Erik, THEISSEN ; Sophie, MOINAS.
    In: HEC Research Papers Series.
    RePEc:ebg:heccah:0784.

    Full description at Econpapers || Download paper

  38. Does Anonymity Matter in Electronic Limit Order Markets?. (2003). Theissen, Erik ; Moinas, Sophie ; Foucault, Thierry.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4091.

    Full description at Econpapers || Download paper

  39. More statistical properties of order books and price impact. (2002). Potters, Marc ; Bouchaud, Jean-Philippe.
    In: Science & Finance (CFM) working paper archive.
    RePEc:sfi:sfiwpa:0210710.

    Full description at Econpapers || Download paper

  40. Statistical properties of stock order books: empirical results and models. (2002). Potters, Marc ; Bouchaud, Jean-Philippe ; Mezard, Marc .
    In: Science & Finance (CFM) working paper archive.
    RePEc:sfi:sfiwpa:0203511.

    Full description at Econpapers || Download paper

  41. Understanding the ex-ante cost of liquidity in the limit order book: A note. (2002). Rubio, Gonzalo ; Tapia, Mikel ; Martinez, Miguel Angel.
    In: DFAEII Working Papers.
    RePEc:ehu:dfaeii:200203.

    Full description at Econpapers || Download paper

  42. The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse. (2002). Hau, Harald.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3651.

    Full description at Econpapers || Download paper

  43. Limit order book as a market for liquidity. (2001). Kandel, Eugene ; Foucault, Thierry ; Kadan, Ohad.
    In: HEC Research Papers Series.
    RePEc:ebg:heccah:0728.

    Full description at Econpapers || Download paper

  44. Empirical Analysis of Limit Order Markets. (2001). Hollifield, Burton ; Sands, Patrik ; Miller, Robert.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:2843.

    Full description at Econpapers || Download paper

  45. The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors. (2000). Ghysels, Eric ; Seon, Junghoon.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2000s-11.

    Full description at Econpapers || Download paper

  46. Market Microstructure: Theory and Empirics. (1999). Calamia A., .
    In: LEM Papers Series.
    RePEc:ssa:lemwps:1999/19.

    Full description at Econpapers || Download paper

  47. An Empirical Analysis of Limit Order Markets. (1999). Hollifield, Burton ; Sandas, Patrik ; Miller, Robert A..
    In: Rodney L. White Center for Financial Research Working Papers.
    RePEc:fth:pennfi:29-99.

    Full description at Econpapers || Download paper

  48. On the Formation and Structure of International Exchanges. (1999). Jorgensen, Bjorn ; Kavajecz, Kenneth A. ; Clayton, Matthew J..
    In: Rodney L. White Center for Financial Research Working Papers.
    RePEc:fth:pennfi:22-99.

    Full description at Econpapers || Download paper

  49. On the Formation and Structure of International Exchanges. (1999). Jorgensen, Bjorn ; Kavajecz, Kenneth A. ; Clayton, Matthew J..
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-057.

    Full description at Econpapers || Download paper

  50. Does Market Organization Speed Up Market Stabilization? First Lessons From the Budapest and Warsaw Stock Exchanges. (1999). Zalewska-Mitura, Anna.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:2134.

    Full description at Econpapers || Download paper

  51. Emerging Markets and Trading Costs. (1999). Ghysels, Eric ; Cherkaoui, Mouna .
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:99s-04.

    Full description at Econpapers || Download paper

  52. Market depth and order size: an analysis of permanent price effects of DAX futures trades. (1998). Kempf, Alexander ; Korn, Olaf .
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:5183.

    Full description at Econpapers || Download paper

  53. The Changing Microstructure of European Equity Markets. (1998). Pagano, Marco.
    In: CSEF Working Papers.
    RePEc:sef:csefwp:04.

    Full description at Econpapers || Download paper

  54. Econometric Models of Limit-Order Executions. (1997). Lo, Andrew ; MacKinlay, Craig A. ; Zhang, June.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6257.

    Full description at Econpapers || Download paper

  55. Learning the True Index Level: Index Return Autocorrelation in an REE Auction Market. (1997). Safvenblad, Patrik.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0190.

    Full description at Econpapers || Download paper

  56. Lead-Lag Effects When Prices Reveal Cross-Security Information. (1997). Safvenblad, Patrik.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0189.

    Full description at Econpapers || Download paper

  57. An Empirical Analysis of the Trading Structure at the Stockholm Stock Exchange. (1995). Niemeyer, Jonas ; Sands, Patrik .
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0044.

    Full description at Econpapers || Download paper

  58. Round-the-clock Trading: Evidence from U.K. Cross-Listed Securities. (1993). Kleidon, Allan W. ; Werner, Ingrid M..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4410.

    Full description at Econpapers || Download paper

  59. Too much cocited documents. This list is not complete

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-11-24 07:02:47 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.