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Time and the Process of Security Price Adjustment.. (1992). Easley, David ; O'Hara, Maureen .
In: Journal of Finance.
RePEc:bla:jfinan:v:47:y:1992:i:2:p:576-605.

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  82. Time-Varying Price Discovery and Autoregressive Loading Factors: Evidence from S&P 500 Cash and E-Mini Futures Markets. (2017). Hou, Yang ; Li, Steven.
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  89. How does information disclosure affect liquidity? Evidence from an Emerging Market. (2017). Arango, Ignacio ; Agudelo, Diego A.
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    RePEc:col:000122:016944.

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  90. Early Birds and Second Mice in the Stock Market. (2017). Huang, Jin ; Crego, Julio A.
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  91. Early Birds and Second Mice in the Stock Market. (2017). Huang, Jin ; Crego, Julio A.
    In: Working Papers.
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  92. Matrix Inequality Constraints for Vector (Asymmetric Power) GARCH/HEAVY Models and MEM with spillovers: some New (Mixture) Formulations. (2017). Xu, Yongdeng ; Karanasos, Menelaos.
    In: Cardiff Economics Working Papers.
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  93. Audit opinions and information asymmetry in the stock market. (2017). Abad, David ; Yague, Jose ; Sanchez-Ballesta, Juan P.
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:57:y:2017:i:2:p:565-595.

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  94. Liquidity Effects of Trading Frequency. (2017). Gayduk, Roman ; Nadtochiy, Sergey.
    In: Papers.
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  95. Extreme Returns and Intensity of Trading. (2016). Gonzalez-Rivera, Gloria ; Lin, Wei.
    In: Working Papers.
    RePEc:ucr:wpaper:201607.

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  96. Normally distributed high-frequency returns: a subordination approach. (2016). Turkolu, Ata .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:16:y:2016:i:3:p:389-409.

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  97. The UHF-GARCH-Type Model in the Analysis of Intraday Volatility and Price Durations – the Bayesian Approach. (2016). Huptas, Roman .
    In: Central European Journal of Economic Modelling and Econometrics.
    RePEc:psc:journl:v:8:y:2016:i:1:p:1-20.

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  98. Corwin-Schultz bid-ask spread estimator in the Brazilian stock market. (2016). Ripamonti, Alexandre.
    In: MPRA Paper.
    RePEc:pra:mprapa:79459.

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  99. Invisible hand discipline from informed trading: Does market discipline from trading affect bank capital structure?. (2016). mamatzakis, emmanuel ; Wang, Chaoke ; Zhang, Xiaoxiang.
    In: MPRA Paper.
    RePEc:pra:mprapa:76215.

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  100. Stepping out of the limit order book: Empirical evidence from the EBS FX market. (2016). Yoshida, Yushi ; Susai, Masayuki.
    In: MPRA Paper.
    RePEc:pra:mprapa:70291.

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  101. PERFORMANCE OF AMERICAN AND RUSSIAN JOINT STOCK COMPANIES ON FINANCIAL MARKET. A MICROSTRUCTURE PERSPECTIVE. (2016). Shachmurove, Yochanan ; Osinska, Magdalena ; Dobrzynski, Andrzej .
    In: Equilibrium. Quarterly Journal of Economics and Economic Policy.
    RePEc:pes:ierequ:v:11:y:2016:i:4:p:819-851.

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  102. The Opaqueness of Structured Bonds: Evidence from the U.S. Insurance Industry. (2016). Xie, Xiaoying ; Lemaire, Jean ; Park, Sojung Carol .
    In: The Geneva Papers on Risk and Insurance - Issues and Practice.
    RePEc:pal:gpprii:v:41:y:2016:i:4:d:10.1057_s41288-016-0021-4.

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  103. A PIN per day shows what news convey: the intraday probability of informed trading. (2016). Aitken, Michael ; Schiereck, Dirk ; Wiegand, Ingo ; Poppe, Thomas .
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:47:y:2016:i:4:d:10.1007_s11156-015-0535-z.

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  104. Estimating Probability of Informed Trading on the Bucharest Stock Exchange. (2016). Cepoi, Cosmin Octavian ; Toma, Filip Mihai .
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:66:y:2016:i:3:p:140-160.

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  105. Trade duration, informed trading, and option moneyness. (2016). Park, Seongkyu (Gilbert) ; Chung, Keeh ; Ryu, Doojin.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:44:y:2016:i:c:p:395-411.

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  106. Why do carbon prices and price volatility change?. (2016). Ibrahim, Boulis Maher ; Kalaitzoglou, Iordanis Angelos .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:63:y:2016:i:c:p:76-94.

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  107. An unbiased computation methodology for estimating the probability of informed trading (PIN). (2016). Alici, Asli ; Ersan, Oguz.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:43:y:2016:i:c:p:74-94.

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  108. The probability of informed trading measured with price impact, price reversal, and volatility. (2016). Kitamura, Yoshihiro.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:42:y:2016:i:c:p:77-90.

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  109. High†Frequency Exchange Rate Forecasting. (2016). Cai, Charlie X ; Zhang, QI.
    In: European Financial Management.
    RePEc:bla:eufman:v:22:y:2016:i:1:p:120-141.

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  110. Intraday Market Effects in Electronic Soybean Futures Market during Non-Trading and Trading Hour Announcements. (2016). Garcia, Philip ; Joseph, Kishore .
    In: 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts.
    RePEc:ags:aaea16:235772.

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  111. The Drift Burst Hypothesis. (2016). Christensen, Kim ; Reno, Roberto ; Oomen, Roel.
    In: CREATES Research Papers.
    RePEc:aah:create:2016-28.

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  112. Stock liquidity in forefront of anticipated announcements. (2015). Gelman, Sergey ; Lushchikov, Roman .
    In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy.
    RePEc:zbw:vfsc15:113176.

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  113. Euro money market trading during times of crisis. (2015). Reitz, Stefan ; Fecht, Falko.
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:2012.

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  114. The liquidity premium in CDS transaction prices: Do frictions matter?. (2015). Gündüz, Yalin ; Gehde-Trapp, Monika ; Nasev, Julia ; Gunduz, Yalin.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1212r2.

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  115. Essays in Market Microstructure and Investor Trading. (2015). Lo, Danny.
    In: PhD Thesis.
    RePEc:uts:finphd:4-2015.

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  116. Essays in Market Microstructure and Investor Trading. (2015). Lo, Danny .
    In: PhD Thesis.
    RePEc:uts:finphd:22.

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  117. Why do Pit-Hours outlive the Pit?. (2015). van der Wel, Michel ; van Dijk, Dick ; Ozturk, Sait.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20150082.

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  118. Assessing influential trade effects via high-frequency market reactions. (2015). Guo, Meihui ; Lin, Liang-Ching ; Wang, Chi-Jeng.
    In: Journal of Applied Statistics.
    RePEc:taf:japsta:v:42:y:2015:i:7:p:1458-1471.

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  119. New empirical evidence on the bid-ask spread. (2015). Narayan, Seema ; Mishra, Sagarika.
    In: Applied Economics.
    RePEc:taf:applec:v:47:y:2015:i:42:p:4484-4500.

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  120. Informed traders’ arrival in foreign exchange markets: Does geography matter?. (2015). Gradojevic, Nikola ; Seluk, Faruk ; Genay, Ramazan ; Olsen, Richard.
    In: Empirical Economics.
    RePEc:spr:empeco:v:49:y:2015:i:4:p:1431-1462.

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  121. Strategic Cross-Trading in the U.S. Stock Market. (2015). Pasquariello, Paolo ; Vega, Clara .
    In: Review of Finance.
    RePEc:oup:revfin:v:19:y:2015:i:1:p:229-282..

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  122. Systemwide Commonalities in Market Liquidity. (2015). Piontek, Thomas ; Liechty, John C ; Flood, Mark D.
    In: Working Papers.
    RePEc:ofr:wpaper:15-11.

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  123. Earnings announcements, trading volume, and price discovery: evidence from dual class firms. (2015). Wang, Qin ; Yang, Hsiao-Fen .
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:44:y:2015:i:4:p:669-700.

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  124. Risk Attitude, Beliefs Updating, and the Information Content of Trades: An Experiment. (2015). Lovo, Stefano ; BISIÈRE, Christophe ; Decamps, Jean-Paul ; Bisiere, Christophe .
    In: Management Science.
    RePEc:inm:ormnsc:v:61:y:2015:i:6:p:1378-1397.

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  125. Price Impact and the Recovery of the Limit Order Book: Why Should We Care About Informed Liquidity Providers?. (2015). Váradi, Kata ; Havran, Dániel ; Varadi, Kata .
    In: IEHAS Discussion Papers.
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  126. Liquidity and resolution of uncertainty in the European carbon futures market. (2015). Kalaitzoglou, Iordanis Angelos ; Ibrahim, Boulis Maher.
    In: Post-Print.
    RePEc:hal:journl:hal-01107956.

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  127. Information-Based Trade in German Real Estate and Equity Markets. (2015). Wlfle, Marco .
    In: Risks.
    RePEc:gam:jrisks:v:3:y:2015:i:4:p:573-598:d:60148.

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  128. Price and size discovery in financial markets: evidence from the U.S. Treasury securities market. (2015). Fleming, Michael ; Nguyen, Giang.
    In: Staff Reports.
    RePEc:fip:fednsr:624.

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  129. 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.

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  130. The friction-free weighted price contribution. (2015). PASCUAL, ROBERTO ; Abad, David.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:37:y:2015:i:c:p:226-239.

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  131. Price dynamics and market liquidity: An intraday event study on Euronext. (2015). Mazza, Paolo.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:56:y:2015:i:c:p:139-153.

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  132. Estimating the price impact of trades in a high-frequency microstructure model with jumps. (2015). Jondeau, Eric ; Rockinger, Michael ; Lahaye, Jerome .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:61:y:2015:i:s2:p:s205-s224.

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  133. The liquidity premium in CDS transaction prices: Do frictions matter?. (2015). Gündüz, Yalin ; Nasev, Julia ; Gunduz, Yalin ; Gehde-Trapp, Monika.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:61:y:2015:i:c:p:184-205.

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  134. Information revelation in the Greek exchange opening call: Daily and intraday evidence. (2015). Kanas, Angelos ; Papachristou, George ; Anagnostidis, Panagiotis .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:38:y:2015:i:c:p:167-184.

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  135. Informed trading in parallel bond markets. (2015). Paiardini, Paola.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:26:y:2015:i:c:p:103-121.

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  136. Investor sentiment and portfolio selection. (2015). Fu, Chengbo ; Wang, Yan ; Jacoby, Gady.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:15:y:2015:i:c:p:266-273.

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  137. The optimal pricing of a market maker in a heterogeneous agent economy. (2015). Chen, Shu-Heng ; Zhang, Yongjie ; Guo, Bin.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:14:y:2015:i:c:p:178-187.

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  138. Liquidity and resolution of uncertainty in the European carbon futures market. (2015). Ibrahim, Boulis Maher ; Kalaitzoglou, Iordanis Angelos .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:37:y:2015:i:c:p:89-102.

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  139. Detecting abnormal trading activities in option markets. (2015). Chesney, Marc ; Mancini, Loriano ; CRAMERI, Remo .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:33:y:2015:i:c:p:263-275.

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  140. Resiliency of the limit order book. (2015). Hall, Anthony ; Lo, Danny K.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:61:y:2015:i:c:p:222-244.

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  141. Fire Sales and Information Advantage: When Informed Investor Helps. (2015). Zhang, Lei ; Massa, Massimo.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10536.

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  142. Modeling Intraday Stochastic Volatility and Conditional Duration Contemporaneously with Regime Shifts. (2014). Trojan, Sebastian .
    In: Economics Working Paper Series.
    RePEc:usg:econwp:2014:25.

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  143. Equilibrium moment restrictions on asset returns: normal and crisis periods. (2014). Tantisantiwong, Nongnuch ; simmons, peter.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:20:y:2014:i:11:p:1064-1089.

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  144. Market Depth at the BM&FBovespa. (2014). Fernandes, Marcelo ; Barros, Carlos Felipe .
    In: Brazilian Review of Econometrics.
    RePEc:sbe:breart:v:34:y:2014:i:1:a:17457.

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  145. Bid-Ask Spread Components on the Foreign Exchange Market: Quantifying the Risk Component. (2014). Frömmel, Michael ; VAN GYSEGEM, F ; FRoMMEL, M..
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:14/878.

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  146. “Every move you make, every step you take, I’ll be watching you” – the quest for hidden orders in the interbank FX spot market. (2014). Bień-Barkowska, Katarzyna.
    In: Bank i Kredyt.
    RePEc:nbp:nbpbik:v:45:y:2014:i:3:p:197-224.

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  147. Capturing Order Book Dynamics in the Interbank EUR/PLN Spot Market. (2014). Bień-Barkowska, Katarzyna.
    In: Emerging Markets Finance and Trade.
    RePEc:mes:emfitr:v:50:y:2014:i:1:p:93-117.

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  148. Bivariate Integer-Valued Long Memory Model for High Frequency Financial Count Data. (2014). Quoreshi, Shahiduzzaman ; Quoreshi, A. M. M. Shahiduzzaman, .
    In: Working Papers.
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  149. Non-scheduled news arrival and high-frequency stock market dynamics. (2014). Smales, Lee.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:32:y:2014:i:c:p:122-138.

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  150. Asymmetric information and term lending in the Euro money market: Evidence from the beginning of the turmoil. (2014). Zagaglia, Paolo ; Marzo, Massimiliano.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:54:y:2014:i:4:p:487-499.

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  151. Spread determinants and the day-of-the-week effect. (2014). Narayan, Seema ; Mishra, Sagarika.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:54:y:2014:i:1:p:51-60.

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  152. Does option trading convey stock price information?. (2014). Hu, Jianfeng .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:111:y:2014:i:3:p:625-645.

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  153. Information asymmetry around operational risk announcements. (2014). Barakat, Ahmed ; Wahrenburg, Mark ; Chernobai, Anna.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:48:y:2014:i:c:p:152-179.

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  154. How does public information affect the frequency of trading in airline stocks?. (2014). Nowak, Sylwia ; Anderson, Heather.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:44:y:2014:i:c:p:26-38.

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  155. Quality of PIN estimates and the PIN-return relationship. (2014). Zhang, Shaojun ; Yan, Yuxing .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:43:y:2014:i:c:p:137-149.

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  156. Trade classification accuracy for the BIST. (2014). Kryzanowski, Lawrence ; Aktas, Osman Ulas .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:33:y:2014:i:c:p:259-282.

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  157. VPIN and the Flash Crash: A rejoinder. (2014). Easley, David ; O'Hara, Maureen ; Lopez de Prado, Marcos M., .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:17:y:2014:i:c:p:47-52.

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  158. Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks. (2014). PETITJEAN, Mikael ; Boudt, Kris.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:17:y:2014:i:c:p:121-149.

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  159. A microstructure analysis of the carbon finance market. (2014). Hyde, Stuart ; Bredin, Don ; Muckley, Cal.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:34:y:2014:i:c:p:222-234.

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  160. An empirical analysis of non-execution and picking-off risks on the Tokyo Stock Exchange. (2014). Yamamoto, Ryuichi.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:29:y:2014:i:c:p:369-383.

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  161. The dynamic mixed hitting-time model for multiple transaction prices and times. (2014). Renault, Eric ; Werker, Bas J. M., ; van der Heijden, Thijs .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:180:y:2014:i:2:p:233-250.

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  162. Measuring Liquidity in an Emerging Market: The Tunis Stock Exchange. (2014). Mamoghli, Chokri ; Rouetbi, Emna .
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2014-04-18.

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  163. The Impact of Trader Behavior on Options Price Volatility. (2014). Wu, Pei-Shan ; Tu, Teng-Tsai ; Chou, Ping-Hung .
    In: Asian Economic and Financial Review.
    RePEc:asi:aeafrj:2014:p:503-516.

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  164. Estimating a Structural Model of Herd Behavior in Financial Markets. (2014). Guarino, Antonio ; Cipriani, Marco.
    In: American Economic Review.
    RePEc:aea:aecrev:v:104:y:2014:i:1:p:224-51.

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  165. Spread and depth adjustment process: an analysis of high-quality microstructure data. (2013). Ryu, Doojin.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:20:y:2013:i:16:p:1506-1510.

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  166. Multiple Kernel Learning with Fisher Kernels for High Frequency Currency Prediction. (2013). Fletcher, Tristan ; Shawe-Taylor, John.
    In: Computational Economics.
    RePEc:kap:compec:v:42:y:2013:i:2:p:217-240.

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  167. High-Frequency Risk Measures. (2013). Tokpavi, Sessi ; Hurlin, Christophe ; BANULESCU-RADU, Denisa ; Colletaz, Gilbert.
    In: Working Papers.
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  168. Trading patterns in the European carbon market: The role of trading intensity and OTC transactions. (2013). Ibrahim, Boulis Maher ; Kalaitzoglou, Iordanis .
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:53:y:2013:i:4:p:402-416.

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  169. The price impact of options and futures volume in after-hours stock market trading. (2013). Hsieh, Pei-Fang ; Chang, Chuang-Chang ; Lai, Hung-Neng .
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:21:y:2013:i:1:p:984-1007.

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  170. Is exchange rate – Customer order flow relationship linear? Evidence from the Hungarian FX market. (2013). Perez-Laborda, Alejandro ; Lovcha, Yuliya.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:35:y:2013:i:c:p:20-35.

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  171. The speed of stock price discovery. (2013). Gavious, Arieh ; Kedar-Levy, Haim.
    In: Journal of Financial Intermediation.
    RePEc:eee:jfinin:v:22:y:2013:i:2:p:245-258.

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  172. Credit and liquidity components of corporate CDS spreads. (2013). Dufour, Alfonso ; Varotto, Simone ; Coro, Filippo .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:12:p:5511-5525.

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  173. Does order flow in the European Carbon Futures Market reveal information?. (2013). Ibrahim, Boulis M. ; Kalaitzoglou, Iordanis .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:16:y:2013:i:3:p:604-635.

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  174. Market Liquidity—Theory and Empirical Evidence *. (2013). Vayanos, Dimitri ; Wang, Jiang.
    In: Handbook of the Economics of Finance.
    RePEc:eee:finchp:2-b-1289-1361.

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  175. The liquidity of energy stocks. (2013). Scholtens, Bert ; Dam, Lammertjan ; Sklavos, Konstantinos .
    In: Energy Economics.
    RePEc:eee:eneeco:v:38:y:2013:i:c:p:168-175.

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  176. Duration, trading volume and the price impact of trades in an emerging futures market. (2013). Hyde, Stuart ; McFarlane, Lavern ; Bowe, Michael .
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:17:y:2013:i:c:p:89-105.

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  177. A Markov-switching multifractal inter-trade duration model, with application to US equities. (2013). Schorfheide, Frank ; Diebold, Francis ; Chen, Fei.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:177:y:2013:i:2:p:320-342.

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  178. The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data. (2013). Xu, Yongdeng ; Taylor, Nick.
    In: Cardiff Economics Working Papers.
    RePEc:cdf:wpaper:2013/7.

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  179. Do Investment Newsletters Move Markets?. (2013). Cao-Alvira, Jose ; Powers, Eric ; Brown, Scott.
    In: Financial Management.
    RePEc:bla:finmgt:v:42:y:2013:i:2:p:315-338.

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  180. Financial intermediation and the role of price discrimination in a two-tier market. (2012). Taylor, Mark ; Reitz, Stefan ; Schmidt, Markus A.
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  181. Risk Attitude, Beliefs Updating and the Information Content of Trades: An Experiment. (2012). Lovo, Stefano ; Décamps, Jean-Paul ; BISIÈRE, Christophe.
    In: TSE Working Papers.
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  182. Modelling the Time Between Trades in the After-Hours Electronic Equity Futures Market. (2012). Dungey, Mardi.
    In: Working Papers.
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  183. The impact of aggressive orders in an order-driven market: a simulation approach. (2012). Wuyts, Gunther .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:18:y:2012:i:10:p:1015-1038.

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  184. Trading directions and the pricing of Euro interbank deposits in the long run. (2012). Zagaglia, Paolo ; Marzo, Massimiliano.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:19:y:2012:i:18:p:1827-1839.

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  185. The Time Varying Properties of Credit and Liquidity Components of CDS Spreads. (2012). Dufour, Alfonso ; Varotto, Simone ; Coro, Filippo .
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2012-06.

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  186. A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities. (2012). Schorfheide, Frank ; Diebold, Francis ; Chen, Fei.
    In: PIER Working Paper Archive.
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  187. A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities. (2012). Schorfheide, Frank ; Diebold, Francis ; Chen, Fei.
    In: NBER Working Papers.
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  188. Central bank interventions and limit order behavior in the foreign exchange market. (2012). Yoshida, Yushi ; Susai, Masayuki.
    In: Discussion Papers.
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  189. Risk Attitude, Beliefs Updating and the Information Content of Trades: An Experiment. (2012). Lovo, Stefano ; Décamps, Jean-Paul ; BISIÈRE, Christophe.
    In: IDEI Working Papers.
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  190. The Relative Contemporaneous Information Response. A New Cointegration-Based Measure of Price Discovery. (2012). Sebastião, Helder ; Sebastio, Helder.
    In: GEMF Working Papers.
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  191. Estimating a structural model of herd behavior in financial markets. (2012). Guarino, Antonio ; Cipriani, Marco.
    In: Staff Reports.
    RePEc:fip:fednsr:561.

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  192. Intraday dynamics of volatility and duration: Evidence from Chinese stocks. (2012). Maheu, John ; Liu, Chun.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:20:y:2012:i:3:p:329-348.

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  193. An improved estimation method and empirical properties of the probability of informed trading. (2012). Zhang, Shaojun ; Yan, Yuxing .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:2:p:454-467.

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  194. An analysis of intraday market behaviour before takeover announcements. (2012). Rodrigues, Bruno Dore ; Souza, Reinaldo Castro ; Stevenson, Maxwell J..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:21:y:2012:i:c:p:23-32.

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  195. Price discovery and sentiment. (2012). Jacoby, Gady ; Liao, Rose C..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:21:y:2012:i:c:p:108-118.

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  196. The market impact of a limit order. (2012). Hautsch, Nikolaus ; Huang, Ruihong.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:36:y:2012:i:4:p:501-522.

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  197. TESTING FOR THE MARKOV PROPERTY IN TIME SERIES. (2012). Hong, Yongmiao ; Chen, Bin.
    In: Econometric Theory.
    RePEc:cup:etheor:v:28:y:2012:i:01:p:130-178_00.

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  198. Does it take volume to move fx rates? Evidence from quantile regressions. (2012). Bień-Barkowska, Katarzyna ; Bien-Barkowska, Katarzyna .
    In: Dynamic Econometric Models.
    RePEc:cpn:umkdem:v:12:y:2012:p:35-52.

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  199. Asimetría en la información y su efecto en los rendimientos en los mercados accionarios latinoamericanos. (2012). Agudelo, Diego ; Diego Alonso Agudelo Rueda, ; Giraldo, Santiago ; Villarraga, Edwin .
    In: DOCUMENTOS DE TRABAJO CIEF.
    RePEc:col:000122:010669.

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  200. Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes. (2011). Schienle, Melanie ; Malec, Peter ; Hautsch, Nikolaus.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:201125.

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  201. Time and the price impact of a trade: A structural approach. (2011). Theissen, Erik ; Wunsche, Oliver ; Grammig, Joachim G..
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:201108.

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  202. Nonlinearities in stochastic clocks: trades and volume as subordinators of electronic markets. (2011). Velasco-Fuentes, Rafael ; Ng, Wing Lon .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:11:y:2011:i:6:p:863-881.

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  203. The euro introduction and noneuro currencies. (2011). van Dijk, Dick ; Munandar, Haris ; Hafner, Christian.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:21:y:2011:i:1-2:p:95-116.

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  204. Does trading remove or bring frictions?. (2011). Sun, David ; Lin, William ; Tsai, Shih-Chuan.
    In: MPRA Paper.
    RePEc:pra:mprapa:37285.

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  205. Multistate asymmetric ACD model: an application to order dynamics in the EUR/PLN spot market. (2011). Bień-Barkowska, Katarzyna.
    In: NBP Working Papers.
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  206. Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models. (2011). Hautsch, Nikolaus ; Gro-Klumann, Axel .
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2011-044.

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  207. Trading duration, mutual funds behavior and stock market shock: Based on ACD model to mine mutual funds investment behavior. (2011). Xiao, Zhang ; Zongxin, Zhang .
    In: China Finance Review International.
    RePEc:eme:cfripp:v:1:y:2011:i:3:p:220-240.

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  208. Short-sale constraints and price bubbles. (2011). Lim, Bryan Y..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:9:p:2443-2453.

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  209. Volatility and covariation of financial assets: A high-frequency analysis. (2011). Cartea, Álvaro ; Karyampas, Dimitrios .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:12:p:3319-3334.

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  210. Local market makers, liquidity and market quality. (2011). Kedia, Simi ; Zhou, Xing.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:14:y:2011:i:4:p:540-567.

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  211. The role of trading intensity estimating the implicit bid–ask spread and determining transitory effects. (2011). Westerholm, P. Joakim ; Ben Sita, Bernard.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:20:y:2011:i:5:p:306-310.

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  212. When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions. (2011). Hautsch, Nikolaus ; Gro-Klumann, Axel .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:2:p:321-340.

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  213. Transaction duration and asymmetric price impact of trades--Evidence from Australia. (2011). Yang, Joey Wenling .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:1:p:91-102.

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  214. Generalized spectral testing for multivariate continuous-time models. (2011). Hong, Yongmiao ; Chen, Bin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:164:y:2011:i:2:p:268-293.

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  215. Data-based ranking of realised volatility estimators. (2011). Patton, Andrew.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:161:y:2011:i:2:p:284-303.

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  216. Impact des rachats d’actions sur la liquidité et la rentabilité des actions. (2011). Brunel, Alexandre .
    In: Economics Thesis from University Paris Dauphine.
    RePEc:dau:thesis:123456789/6404.

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  217. A View on Global Imbalances and their Contribution to the Financial Crisis. (2011). Dettmann, Georg.
    In: Birkbeck Working Papers in Economics and Finance.
    RePEc:bbk:bbkefp:1102.

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  218. Probability of Informed Trading and Volatility for an ETF. (2011). Paiardini, Paola ; Karyampas, Dimitrios .
    In: Birkbeck Working Papers in Economics and Finance.
    RePEc:bbk:bbkefp:1101.

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  219. Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes. (2010). Schienle, Melanie ; Malec, Peter ; Hautsch, Nikolaus.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:201019.

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  220. Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market. (2010). Maheu, John ; Liu, Chun.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-401.

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  221. From Trade-to-Trade in US Treasuries. (2010). Henry, Ólan ; Dungey, Mardi.
    In: Working Papers.
    RePEc:tas:wpaper:10446.

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  222. Short horizon liquidity and trading activity in the US Treasury market: do inventory holding costs matter?. (2010). Khang, Kenneth ; King, Tao-Hsien Dolly .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:20:y:2010:i:14:p:1085-1098.

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  223. Recovering the moments of information flow and the normality of asset returns. (2010). Murphy, Anthony ; Izzeldin, Marwan.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:20:y:2010:i:10:p:761-769.

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  224. The functioning of the European interbank market during the 2007-08 financial crisis. (2010). Gabrieli, Silvia.
    In: CEIS Research Paper.
    RePEc:rtv:ceisrp:158.

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  225. Informed and uninformed traders at work: evidence from the French market. (2010). Ferriani, Fabrizio.
    In: MPRA Paper.
    RePEc:pra:mprapa:24487.

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  226. A Microstructure Model for Spillover Effects in Price Discovery: A Study for the European Bond Market. (2010). Perlin, Marcelo ; Dufour, Alfonso ; Brooks, Chris.
    In: MPRA Paper.
    RePEc:pra:mprapa:23380.

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  227. Does Order Flow in the European Carbon Allowances Market Reveal Information?. (2010). Ibrahim, Boulis Maher ; Kalaitzoglou, Iordanis .
    In: CFI Discussion Papers.
    RePEc:hwe:cfidps:1003.

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  228. Testing for intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc markets. (2010). Kitamura, Yoshihiro.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:24:y:2010:i:2:p:158-171.

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  229. Autocorrelation of the trade process: Evidence from the Helsinki Stock Exchange. (2010). Ben Sita, Bernard.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:50:y:2010:i:4:p:538-547.

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  230. Scaling and memory in the non-Poisson process of limit order cancelation. (2010). Ren, Fei ; Jiang, Zhi-Qiang ; Ni, Xiao-Hui ; Chen, Wei ; Zhou, Wei-Xing ; Gu, Gao-Feng .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:389:y:2010:i:14:p:2751-2761.

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  231. Effects of Japanese macroeconomic statistic announcements on the dollar/yen exchange rate: High-resolution picture. (2010). Ito, Takatoshi ; Hashimoto, Yuko .
    In: Journal of the Japanese and International Economies.
    RePEc:eee:jjieco:v:24:y:2010:i:3:p:334-354.

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  232. The S&P500 index effect reconsidered: Evidence from overnight and intraday stock price performance and volume. (2010). Ward, Charles ; Brooks, Chris ; Kappou, Konstantina .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:1:p:116-126.

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  233. Order aggressiveness and quantity: How are they determined in a limit order market?. (2010). Lo, Ingrid ; Sapp, Stephen G..
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:20:y:2010:i:3:p:213-237.

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  234. Option market liquidity: Commonality and other characteristics. (2010). Cao, Melanie ; Wei, Jason .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:13:y:2010:i:1:p:20-48.

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  235. Ownership dispersion and market liquidity. (2010). Jacoby, Gady ; Zheng, Steven X..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:19:y:2010:i:2:p:81-88.

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  236. Testing for unobserved heterogeneity in exponential and Weibull duration models. (2010). White, Halbert ; Cho, Jin Seo.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:157:y:2010:i:2:p:458-480.

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  237. Participation strategy of the NYSE specialists to the posted quotes. (2010). Köksal, Bülent ; Koksal, Bulent .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:21:y:2010:i:3:p:314-331.

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  238. Derivative usage and firm value: The influence of agency costs and monitoring problems. (2010). Naranjo, Andy ; Fauver, Larry .
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:16:y:2010:i:5:p:719-735.

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  239. Accounting conservatism in a setting of Information Asymmetry between majority and minority shareholders. (2010). Wang, Chenchin ; Chi, Wuchun.
    In: The International Journal of Accounting.
    RePEc:eee:accoun:v:45:y:2010:i:4:p:465-489.

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  240. Time and dynamic Volume-Volatility Relation around Option Listing: Evidence from the French Underlying Stocks. (2010). Jouaber, Kaouther ; Tekaya, Rim .
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/5069.

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  241. The Price Impact of Economic News, Private Information and Trading Intensity. (2010). Paiardini, Paola.
    In: Birkbeck Working Papers in Economics and Finance.
    RePEc:bbk:bbkefp:1011.

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  242. The market impact of a limit order. (2009). Hautsch, Nikolaus ; Huang, Ruihong.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200923.

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  243. Informed trading, information asymmetry and pricing of information risk: Empirical evidence from the NYSE. (2009). Bartram, Söhnke ; Bardong, Florian ; Yadav, Pradeep .
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0908.

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  244. Trading Volume in Dealer Markets. (2009). Park, Andreas ; Malinova, Katya.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-357.

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  245. Tunisian Dealer Behaviour in FX Market. (2009). .
    In: Journal of Emerging Market Finance.
    RePEc:sae:emffin:v:8:y:2009:i:3:p:265-287.

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  246. How Duration Between Trades of Underlying Securities Affects Option Prices. (2009). Cartea, Álvaro ; Meyer-Brandis, Thilo.
    In: MPRA Paper.
    RePEc:pra:mprapa:16179.

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  247. Effects of Japanese Macroeconomic Announcements on the Dollar/Yen Exchange Rate: High-Resolution Picture. (2009). Ito, Takatoshi ; Hashimoto, Yuko .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15020.

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  248. Informed Trading in Parallel Bond Markets. (2009). Paiardini, Paola.
    In: Economics & Statistics Discussion Papers.
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  249. Information-based trade in Russia and the effects of listing abroad. (2009). .
    In: Economic Change and Restructuring.
    RePEc:kap:ecopln:v:42:y:2009:i:4:p:229-262.

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  250. Testing for Unobserved Heterogeneity in Exponential and Weibull Duration Models. (2009). White, Halbert ; Cho, Jin Seo.
    In: Discussion Paper Series.
    RePEc:iek:wpaper:0912.

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  251. Intraday trade and quote dynamics: A Cox regression analysis. (2009). Bhatti, Chad R..
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:79:y:2009:i:7:p:2240-2249.

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  252. A two-asset stochastic model for long-term portfolio selection. (2009). Kung, James J..
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:79:y:2009:i:10:p:3089-3098.

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  253. What affects accounting conservatism: A corporate governance perspective. (2009). Chi, Wuchun ; Wang, Taychang ; Liu, Chiawen.
    In: Journal of Contemporary Accounting and Economics.
    RePEc:eee:jocaae:v:5:y:2009:i:1:p:47-59.

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  254. Price discovery in the round-the-clock U.S. Treasury market. (2009). Wang, Junbo ; Lin, Hai ; Wu, Chunchi ; He, Yan.
    In: Journal of Financial Intermediation.
    RePEc:eee:jfinin:v:18:y:2009:i:3:p:464-490.

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  255. The role of private information in return volatility, bid-ask spreads and price levels in the foreign exchange market. (2009). ap Gwilym, Owain ; McGroarty, Frank ; Thomas, Stephen.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:19:y:2009:i:2:p:387-401.

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  256. Technology and liquidity provision: The blurring of traditional definitions. (2009). Saar, Gideon ; Hasbrouck, Joel .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:12:y:2009:i:2:p:143-172.

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  257. Measuring the impact of option market activity on the stock market: Bivariate point process models of stock and option transactions. (2009). Collver, Charles .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:12:y:2009:i:1:p:87-106.

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  258. Analysis of ultra-high-frequency financial data using advanced Fourier transforms. (2009). Giampaoli, Iacopo ; Ng, Wing Lon ; Constantinou, Nick .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:6:y:2009:i:1:p:47-53.

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  259. Informed trading and liquidity in the Shanghai Stock Exchange. (2009). Wong, Woon ; Tan, Dijun ; Tian, Yixiang.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:18:y:2009:i:1-2:p:66-73.

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  260. The magnet effect of price limits: A logit approach. (2009). Yang, Jimmy J. ; Kim, Yong H. ; Hsieh, Ping-Hung .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:5:p:830-837.

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  261. Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange. (2009). Duchesne, Pierre ; Dionne, Georges ; Pacurar, Maria .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:5:p:777-792.

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  262. Price discovery in tick time. (2009). Frijns, Bart ; Schotman, Peter .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:5:p:759-776.

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  263. Liquidity cycles and make/take fees in electronic markets. (2009). Kandel, Eugene ; Foucault, Thierry ; Kadan, Ohad.
    In: HEC Research Papers Series.
    RePEc:ebg:heccah:0920.

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  264. Risk attitude, beliefs updating and the information content of trades: an experiment. (2009). Lovo, Stefano ; Décamps, Jean-Paul ; BISIÈRE, Christophe ; Bisiere, Christophe ; Decamps, Jean-Paul.
    In: HEC Research Papers Series.
    RePEc:ebg:heccah:0917.

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  265. Volatility and covariation of financial assets: a high-frequency analysis. (2009). Cartea, Álvaro ; Karyampas, Dimitrios .
    In: DEE - Working Papers. Business Economics. WB.
    RePEc:cte:wbrepe:wb097609.

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  266. Liquidity cycles and make/take fees in electronic markets. (2009). Kandel, Eugene ; Foucault, Thierry ; Kadan, Ohad.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7551.

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  267. Testing Asymmetric-Information Asset Pricing Models. (2009). Ljungqvist, Alexander ; Kelly, Bryan.
    In: CEPR Discussion Papers.
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  268. Bank of England Interest Rate Announcements and the Foreign Exchange Market. (2009). Taylor, Mark ; Saborowski, Christian ; Sager, Michael ; Melvin, Michael.
    In: CESifo Working Paper Series.
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  269. Adverse Selection and the Opaqueness of Insurers. (2009). Cox, Larry A. ; Zhang, Tao ; Van Ness, Robert A..
    In: Journal of Risk & Insurance.
    RePEc:bla:jrinsu:v:76:y:2009:i:2:p:295-321.

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  270. Discussion of Penman. (2009). Johnstone, D. J..
    In: Abacus.
    RePEc:bla:abacus:v:45:y:2009:i:3:p:372-378.

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  271. Jump Testing and the Speed of Market Adjustment. (2009). Rasmussen, Torben B..
    In: CREATES Research Papers.
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  272. On the correlation structure of microstructure noise in theory and practice. (2008). Strasser, Georg ; Diebold, Francis.
    In: CFS Working Paper Series.
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  273. Herd Behavior in Financial Markets: An Experiment with Financial Market Professionals. (2008). Guarino, Antonio ; Cipriani, Marco.
    In: WEF Working Papers.
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  274. Price discovery in the presence of boundedly rational agents. (2008). Keiber, Karl Ludwig.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:8:y:2008:i:3:p:235-249.

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  275. Decimalization, Realized Volatility, and Market Microstructure Noise. (2008). Vuorenmaa, Tommi.
    In: MPRA Paper.
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  276. Participation Strategy of the NYSE Specialists to the Trades. (2008). Köksal, Bülent ; Bulent, Koksal .
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    RePEc:pra:mprapa:30512.

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  277. Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE. (2008). Bartram, Söhnke ; Bardong, Florian ; Yadav, Pradeep K..
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    RePEc:pra:mprapa:13586.

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  278. On the Correlation Structure of Microstructure Noise in Theory and Practice. (2008). Strasser, Georg ; Diebold, Francis.
    In: PIER Working Paper Archive.
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  279. Abnormal Accrual, Informed Trader, and Long-Term Stock Return: Evidence from Japan. (2008). Muramiya, Katsuhiko ; Takada, Tomomi ; Otogawa, Kazuhisa .
    In: Discussion Paper Series.
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  280. Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models. (2008). Racicot, François-Éric ; Coen, Alain ; Theoret, Raymond.
    In: International Advances in Economic Research.
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  281. Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models. (2008). Coen, Alain ; Theoret, Raymond .
    In: International Advances in Economic Research.
    RePEc:kap:iaecre:v:14:y:2008:i:1:p:112-124.

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  282. HOW DO PUBLIC ANNOUNCEMENTS AFFECT THE FREQUENCY OF TRADING IN U.S. AIRLINE STOCKS?. (2008). Nowak, Sylwia.
    In: CAMA Working Papers.
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  283. Scaling in the distribution of intertrade durations of Chinese stocks. (2008). Zhou, Wei-Xing ; Jiang, Zhi-Qiang ; Chen, Wei.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:387:y:2008:i:23:p:5818-5825.

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  284. The submission of limit orders or market orders: The role of timing and information in the Reuters D2000-2 system. (2008). Lo, Ingrid ; Sapp, Stephen G..
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:27:y:2008:i:7:p:1056-1073.

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  285. Volume, liquidity, and liquidity risk. (2008). TimothyC. Johnson, .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:87:y:2008:i:2:p:388-417.

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  286. The dynamics of quote adjustments. (2008). Chuwonganant, Chairat ; Chung, Kee H. ; Jiang, Jing.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:11:p:2390-2400.

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  287. Modeling duration clusters with dynamic copulas. (2008). Ng, Wing Lon .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:5:y:2008:i:2:p:96-103.

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  288. Determinants of bid and ask quotes and implications for the cost of trading. (2008). Russell, Jeffrey R. ; Tsay, Ruey S. ; Zhang, Michael Yuanjie.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:4:p:656-678.

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  289. Noise trading and the price formation process. (2008). Berkman, Henk ; Koch, Paul D..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:2:p:232-250.

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  290. Information content of inter-trade time on the Chinese market. (2008). Chen, Tao ; Li, Jie ; Cai, Jun.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:9:y:2008:i:3:p:174-193.

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  291. A vector integer-valued moving average model for high frequency financial count data. (2008). Quoreshi, Shahiduzzaman ; Quoreshi, A. M. M. Shahiduzzaman, .
    In: Economics Letters.
    RePEc:eee:ecolet:v:101:y:2008:i:3:p:258-261.

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  292. An empirical behavioral model of liquidity and volatility. (2008). Farmer, J. ; Mike, Szabolcs .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:32:y:2008:i:1:p:200-234.

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  293. Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model. (2008). Hautsch, Nikolaus.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:32:y:2008:i:12:p:3978-4015.

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  294. Multivariate reduced rank regression in non-Gaussian contexts, using copulas. (2008). Heinen, Andréas ; Rengifo, Erick .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:52:y:2008:i:6:p:2931-2944.

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  295. Stock trading, information production, and executive incentives. (2008). Liu, Qiao ; Kang, Qiang .
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:14:y:2008:i:4:p:484-498.

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  296. Modeling Conditional Dependencies between Polish Financial Returns with Markov-Switching Copula Models [pdf]. (2008). Doman, Ryszard .
    In: Dynamic Econometric Models.
    RePEc:cpn:umkdem:v:8:y:2008:p:21-28.

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  297. Information Impact on Stock Price Dynamics. (2008). Doman, Malgorzata .
    In: Dynamic Econometric Models.
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  298. Nonlinear Dynamic in the Chilean Stock Market: Evidence from Returns and Trading Volume. (2008). JARAMILLO, PATRICIO ; Aranda, Rodrigo.
    In: Working Papers Central Bank of Chile.
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  299. Earnings Volatility, Cash Flow Volatility, and Informed Trading. (2008). Jayaraman, Sudarshan.
    In: Journal of Accounting Research.
    RePEc:bla:joares:v:46:y:2008:i:4:p:809-851.

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  300. AUTOREGRESSIVE CONDITIONAL DURATION MODELS IN FINANCE: A SURVEY OF THE THEORETICAL AND EMPIRICAL LITERATURE. (2008). Pacurar, Maria .
    In: Journal of Economic Surveys.
    RePEc:bla:jecsur:v:22:y:2008:i:4:p:711-751.

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  301. Customer trading in the foreign exchange market empirical evidence from an internet trading platform. (2007). Nolte, Ingmar ; Lechner, Sandra .
    In: CoFE Discussion Papers.
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  302. Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model. (2007). Hautsch, Nikolaus.
    In: CFS Working Paper Series.
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  303. Time and price impact of a trade: A structural approach. (2007). Theissen, Erik ; Wuensche, Oliver ; Grammig, Joachim.
    In: CFR Working Papers.
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  304. Discretized time and conditional duration modelling for stock transaction data. (2007). Brännäs, Kurt ; Simonsen, Ola.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:17:y:2007:i:8:p:647-658.

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  305. Trade intensity in the Russian stock market: dynamics, distribution and determinants. (2007). Anatolyev, Stanislav ; Shakin, Dmitry.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:17:y:2007:i:2:p:87-104.

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  306. Trading volume and the number of trades. (2007). Izzeldin, Marwan.
    In: Working Papers.
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  307. Trading volume and the number of trades: a comparative study using high frequency data. (2007). Izzeldin, Marwan.
    In: Working Papers.
    RePEc:lan:wpaper:3326.

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  308. Trading volume and the number of trades: a comparative study using high frequency data. (2007). Izzeldin, Marwan.
    In: Working Papers.
    RePEc:lan:wpaper:3142.

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  309. Trading volume and the number of trades: a comparative study using high frequency data. (2007). Izzeldin, M.
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  310. Trading volume and the number of trades: a comparative study using high frequency data. (2007). Fuertes, A M ; Izzeldin, M ; Kalotychou, E.
    In: Working Papers.
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  311. What Enhances Insider Trading Profitability?. (2007). Perote, Javier.
    In: Atlantic Economic Journal.
    RePEc:kap:atlecj:v:35:y:2007:i:2:p:173-188.

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  312. An empirical model for durations in stocks. (2007). .
    In: Annals of Finance.
    RePEc:kap:annfin:v:3:y:2007:i:2:p:241-255.

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  313. Detecting Misspecifications in Autoregressive Conditional Duration Models. (2007). Lee, Yoon-Jin ; Hong, Yongmiao.
    In: Caepr Working Papers.
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  314. Stock Market Liquidity.Determinants and Implications. (2007). Wuyts, G.
    In: Review of Business and Economic Literature.
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  315. Order flow, dealer profitability, and price formation. (2007). Locke, Peter ; Onayev, Zhan.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:85:y:2007:i:3:p:857-887.

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  316. Limit orders and the intraday behavior of market liquidity: Evidence from the Toronto stock exchange. (2007). Vo, Minh T..
    In: Global Finance Journal.
    RePEc:eee:glofin:v:17:y:2007:i:3:p:379-396.

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  317. The PIN anomaly around M&A announcements. (2007). Declerck, Fany ; de Bodt, Eric ; Aktas, Nihat ; VAN OPPENS, Herve .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:10:y:2007:i:2:p:169-191.

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  318. Estimating the probability of informed trading--does trade misclassification matter?. (2007). Theissen, Erik ; Grammig, Joachim ; Boehmer, Ekkehart.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:10:y:2007:i:1:p:26-47.

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  319. Measuring the resiliency of an electronic limit order book. (2007). Large, Jeremy.
    In: Journal of Financial Markets.
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  320. Multivariate autoregressive modeling of time series count data using copulas. (2007). Heinen, Andréas ; Rengifo, Erick .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:14:y:2007:i:4:p:564-583.

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  321. When is inter-transaction time informative?. (2007). Furfine, Craig .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:14:y:2007:i:3:p:310-332.

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  322. Modelling security market events in continuous time: Intensity based, multivariate point process models. (2007). Bowsher, Clive.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:141:y:2007:i:2:p:876-912.

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  323. Testing the Markov property with high frequency data. (2007). Fernandes, Marcelo ; Amaro de Matos, João.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:141:y:2007:i:1:p:44-64.

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  324. Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading. (2007). Tay, Anthony ; Tse, Yiu Kuen ; Warachka, Mitch ; Ting, Christopher .
    In: Finance Working Papers.
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  325. The Money Market Daily Session :an UHF-GARCH Model Applied to the Portuguese Case Before and After the Introduction Of the Minimum Reserve System of the Single Monetary Policy. (2007). Sol Murta, Fátima.
    In: Brussels Economic Review.
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  326. Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?. (2007). Lo, Ingrid ; Sapp, Stephen G..
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  327. How Does Duration Between Trades of Underlying Securities Affect Option Prices. (2007). Cartea, Álvaro ; Meyer-Brandis, Thilo.
    In: Birkbeck Working Papers in Economics and Finance.
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  328. Theres more to volatility than volume. (2006). Farmer, J. ; Gillemot, Laszlo ; Lillo, Fabrizio.
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  329. Heterogeneous information flows and intra-day volatility dynamics: evidence from the UK FTSE-100 stock index futures market. (2006). Alan E. H. Speight, ; McMillan, David G..
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  330. Rationally mispriced assets in equilibrium. (2006). Eckwert, Bernhard ; Szczutkowski, Andreas.
    In: Spanish Economic Review.
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  331. Asymmetries in bid and ask responses to innovations in the trading process. (2006). PASCUAL, ROBERTO ; Escribano, Alvaro.
    In: Empirical Economics.
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  332. Intraday stock prices, volume, and duration: a nonparametric conditional density analysis. (2006). Tay, Anthony S ; Ting, Christopher.
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  333. Econometric analysis of high frequency data. (2006). Herwartz, Helmut.
    In: AStA Advances in Statistical Analysis.
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  334. Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models. (2006). Racicot, François-Éric ; Coen, Alain ; Theoret, Raymond .
    In: RePAd Working Paper Series.
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  335. Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System. (2006). Ito, Takatoshi ; Hashimoto, Yuko .
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  336. STOCK DATA, TRADE DURATIONS, AND LIMIT ORDER BOOK INFORMATION. (2006). Simonsen, Ola.
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  337. The Impact of News Releases on Trade Durations in Stocks -Empirical Evidence from Sweden. (2006). Simonsen, Ola.
    In: Umeå Economic Studies.
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  338. A Vector Integer-Valued Moving Average Modelfor High Frequency Financial Count Data. (2006). Quoreshi, Shahiduzzaman.
    In: Umeå Economic Studies.
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  339. Trading Intensity and Intraday Volatility on the Prague Stock Exchange: Evidence from an Autoregressive Conditional Duration Model (in English). (2006). Bubak, Vit ; Ike, Filip.
    In: Czech Journal of Economics and Finance (Finance a uver).
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  340. Informational cascades with endogenous prices: The role of risk aversion. (2006). Lovo, Stefano ; Décamps, Jean-Paul ; Decamps, Jean-Paul.
    In: Journal of Mathematical Economics.
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  341. Intraday seasonality in activities of the foreign exchange markets: Evidence from the electronic broking system. (2006). Ito, Takatoshi ; Hashimoto, Yuko .
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  342. Stock price reaction to public and private information. (2006). Vega, Clara.
    In: Journal of Financial Economics.
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  343. Separating microstructure noise from volatility. (2006). Bandi, Federico M. ; Russell, Jeffrey R..
    In: Journal of Financial Economics.
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  344. Realized volatility and transactions. (2006). Chan, Choon Chat ; Fong, Wai Mun.
    In: Journal of Banking & Finance.
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  345. Time and dynamic volume-volatility relation. (2006). Wu, Chunchi ; Xu, Xiaoqing Eleanor ; Chen, Peter.
    In: Journal of Banking & Finance.
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  346. Bayesian analysis of the stochastic conditional duration model. (2006). Martin, Gael ; Forbes, Catherine ; Strickland, Chris M..
    In: Computational Statistics & Data Analysis.
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  347. Modelling Financial High Frequency Data Using Point Processes. (2006). Hautsch, Nikolaus ; Bauwens, Luc ; Luc, Bauwens ; Nikolaus, HAUTSCH.
    In: Discussion Papers (ECON - Département des Sciences Economiques).
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  348. Marketwide Private Information in Stocks: Forecasting Currency Returns. (2006). Brandao Marques, Luis ; de Francisco, Eva ; Albuquerque, Rui.
    In: CEPR Discussion Papers.
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  349. Modelling financial high frequency data using point processes. (2006). Hautsch, Nikolaus ; Bauwens, Luc.
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  350. Trade intensity in the Russian stock market:dynamics, distribution and determinants. (2006). Anatolyev, Stanislav ; Shakin, Dmitry.
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  351. Decimal Pricing and Information‐Based Trading: Tick Size and Informational Efficiency of Asset Price. (2006). Chung, Keeh ; Zhao, Xin.
    In: Journal of Business Finance & Accounting.
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  352. Realized Variance and Market Microstructure Noise. (2006). Lunde, Asger ; Hansen, Peter.
    In: Journal of Business & Economic Statistics.
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  353. Trade intensity in the Russian stock market:dynamics, distribution and determinants. (2006). Anatolyev, Stanislav ; Shakin, Dmitry.
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  354. Does anonymity matter in electronic limit order markets?. (2005). Theissen, Erik ; Moinas, Sophie ; Foucault, Thierry.
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  355. Understanding the limit order book: Conditioning on trade informativeness. (2005). Menkveld, Albert ; Grammig, Joachim ; BELTRAN, Helena .
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  356. Order Flow, Transaction Clock, and Normality of Asset Returns: A Comment on Ané and Geman (2000). (2005). Murphy, Anthony ; Izzeldin, Marwan.
    In: Finance.
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  357. Noise-trader Risk: Does it Deter Arbitrage, and Is it Priced?. (2005). Flynn, Sean.
    In: Vassar College Department of Economics Working Paper Series.
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  358. Insider Trading and Corporate Governance in Latin America: A Sequential Trade Model Approach. (2005). Kawamura, Enrique ; Cruces, Juan Jose .
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  359. Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange. (2005). Dionne, Georges ; Pacurar, Maria ; Duchesne, Pierre.
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  360. Information Leakage and Market Efficiency. (2005). Brunnermeier, Markus.
    In: Review of Financial Studies.
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  361. Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models. (2005). Bowsher, Clive ; Tyson, Christopher J..
    In: Economics Papers.
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  362. Optimal Trading Strategy and Supply/Demand Dynamics. (2005). Obizhaeva, Anna ; Wang, Jiang.
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  363. Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange. (2005). Duchesne, Pierre ; Dionne, Georges ; Pacurar, Maria .
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  364. An Empirical Model for Durations in Stocks. (2005). Simonsen, Ola.
    In: Umeå Economic Studies.
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  365. Price discovery in a market under stress: the U.S. Treasury market in fall 1998. (2005). Remolona, Eli ; Furfine, Craig H..
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  366. Order Submission Strategies and Information: Empirical Evidence from the NYSE. (2005). Beber, Alessandro ; Caglio, Cecilia.
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  367. Some statistical models for durations and an application to News Corporation stock prices. (2005). Allen, David ; Yang, Wenling ; Peiris, Shelton.
    In: Mathematics and Computers in Simulation (MATCOM).
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  368. Stop-loss orders and price cascades in currency markets. (2005). Osler, Carol.
    In: Journal of International Money and Finance.
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  369. Information-based trading, price impact of trades, and trade autocorrelation. (2005). McInish, Thomas ; Chung, Kee H. ; Li, Mingsheng .
    In: Journal of Banking & Finance.
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  370. Duration, volume and volatility impact of trades. (2005). Manganelli, Simone.
    In: Journal of Financial Markets.
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  371. Trade disclosure and price dispersion. (2005). Manzano, Carolina ; de Frutos, Maria-Angeles.
    In: Journal of Financial Markets.
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  372. Time-varying informed and uninformed trading activities. (2005). Wu, Guojun ; Lei, Qin .
    In: Journal of Financial Markets.
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  373. A market microstructure model with random overlapping information asymmetries. (2005). Owens, John P..
    In: Finance Research Letters.
    RePEc:eee:finlet:v:2:y:2005:i:2:p:59-66.

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  374. Do Investors Trade More When Stocks Have Performed Well? Evidence from 46 Countries. (2005). Stulz, René ; Nardari, Federico ; Griffin, John M..
    In: Working Paper Series.
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  375. Order Submission: The Choice between Limit and Market Orders. (2005). Lo, Ingrid ; Sapp, Stephen G..
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  376. An empirical behavioral model of price formation. (2005). Farmer, J. ; Mike, Szabolcs .
    In: Papers.
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  377. Modelling realized variance when returns are serially correlated. (2004). OOMEN, Roel C. A., .
    In: Discussion Papers, Research Unit: Market Processes and Governance.
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  378. A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market. (2004). Hall, Anthony ; Hautsch, Nikolaus.
    In: Research Paper Series.
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  379. Testing the Markov property with ultra-high frequency financial data. (2004). Fernandes, Marcelo ; Amaro de Matos, João.
    In: FEUNL Working Paper Series.
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  380. 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.
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  381. Intradaily relationship between information revelation and trading duration under market trends: the evidence of MSCI Taiwan stock index futures. (2004). Wang, Cheng-Hsiang ; Chiang, Min-Hsien .
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:11:y:2004:i:8:p:495-501.

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  382. Cancellation and uncertainty aversion on limit order books. (2004). Large, Jeremy .
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:2004-fe-04.

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  383. Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Model. (2004). Bowsher, Clive .
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:2003-w03.

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

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  385. Stock Market Trading and Market Conditions. (2004). Stulz, René ; Nardari, Federico ; Griffin, John M..
    In: NBER Working Papers.
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  386. Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications. (2004). Biais, Bruno ; Spatt, Chester ; Glosten, Larry .
    In: IDEI Working Papers.
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  387. Aggressive dealer pricing. (2004). Sarajoti, Pattarake ; Locke, Peter R..
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:44:y:2004:i:4:p:559-573.

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  388. The impact of illegal insider trading in dealer and specialist markets: evidence from a natural experiment. (2004). Robe, Michel ; Fishe, Raymond P. H., .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:71:y:2004:i:3:p:461-488.

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  389. Trading intensity, volatility, and arbitrage activity. (2004). Taylor, Nick.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:28:y:2004:i:5:p:1137-1162.

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  390. Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis. (2004). PASCUAL, ROBERTO ; Escribano, Alvaro ; Tapia, Mikel.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:28:y:2004:i:1:p:107-128.

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  391. Order aggressiveness in limit order book markets. (2004). Ranaldo, Angelo.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:7:y:2004:i:1:p:53-74.

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  392. Impacts of trades in an error-correction model of quote prices. (2004). Patton, Andrew ; Engle, Robert.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:7:y:2004:i:1:p:1-25.

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  393. Effects of NYMEX trading on IPE Brent Crude futures markets: a duration analysis. (2004). Tamvakis, Michael N. ; Lin, Sharon Xiaowen .
    In: Energy Policy.
    RePEc:eee:enepol:v:32:y:2004:i:1:p:77-82.

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  394. An empirical analysis of the role of the trading intensity in information dissemination on the NYSE. (2004). Spierdijk, Laura.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:11:y:2004:i:2:p:163-184.

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  395. The stochastic conditional duration model: a latent variable model for the analysis of financial durations. (2004). Veredas, David ; Bauwens, Luc.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:119:y:2004:i:2:p:381-412.

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  396. Underwriter short covering in the IPO aftermarket: a clinical study. (2004). Boehmer, Ekkehart ; Fishe, Raymond P. H., .
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:10:y:2004:i:4:p:575-594.

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  397. Statistical Models for High Frequency Security Prices. (2004). Oomen, Roel.
    In: Econometric Society 2004 North American Winter Meetings.
    RePEc:ecm:nawm04:77.

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  398. 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.

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  399. Specification Testing for Multivariate Time Series Volatility Models. (2004). Lee, Yoon-Jin ; Hong, Yongmiao.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:696.

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  400. Stock Market Trading and Market Conditions. (2004). Stulz, René ; Nardari, Federico ; Griffin, John M..
    In: Working Paper Series.
    RePEc:ecl:ohidic:2004-13.

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  401. Does liquidity in the FX market depend on volatility?. (2004). Manzan, Sebastiano .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:6:y:2004:i:10:p:1-8.

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  402. Does liquidity in the FX market depend on volatility?. (2004). Westerhoff, Frank ; Manzan, Sebastiano .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-04f30001.

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  403. Bullish/Bearish Strategies of Trading: A Nonlinear Equilibrium. (2004). Germain, Laurent ; Dridi, Ramdan .
    In: Journal of Financial and Quantitative Analysis.
    RePEc:cup:jfinqa:v:39:y:2004:i:04:p:873-886_00.

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  404. Testing weak exogeneity in the exponential family : an application to financial point processes. (2004). Veredas, David ; Dolado, Juan ; RODRIGUEZ-POO, Juan .
    In: CORE Discussion Papers.
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  405. Private Information and High-Frequency Stochastic Volatility. (2004). Steigerwald, Douglas ; Kelly, David.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:8:y:2004:i:1:n:1.

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  406. Informed Trading Around Earnings Announcements: Another Look. (2004). Whalen, Dennis J. ; Collver, Charles D..
    In: The Financial Review.
    RePEc:bla:finrev:v:39:y:2004:i:3:p:409-434.

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  407. To Trade or Not to Trade: The Effect of Broker Search and Discretionary Trading on Securities Market Performance. (2004). Li, Jinliang ; Wu, Chunchi ; Zhang, Wei.
    In: The Financial Review.
    RePEc:bla:finrev:v:39:y:2004:i:2:p:271-292.

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  408. The Effects of Economic News on Bond Market Liquidity. (2004). D'Souza, Chris ; Gaa, Charles.
    In: Staff Working Papers.
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  409. A Dynamic Integer Count Data Model for Financial Transaction Prices. (2003). Liesenfeld, Roman ; Pohlmeier, Winfried.
    In: CoFE Discussion Papers.
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  410. Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?. (2003). Theissen, Erik ; Grammig, Joachim.
    In: University of St. Gallen Department of Economics working paper series 2003.
    RePEc:usg:dp2003:2003-01.

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  411. The effects of trading halts on price discovery for NYSE stocks. (2003). Chen, Haiwei ; Valerio, Nicholas.
    In: Applied Economics.
    RePEc:taf:applec:v:35:y:2003:i:1:p:91-97.

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  412. The Information Content in Trades of Inactive Nasdaq Stocks. (2003). Wu, Chunchi ; Chen, Peter ; Man, Kasing .
    In: Journal of Entrepreneurial Finance.
    RePEc:pep:journl:v:8:y:2003:i:2:p:25-53.

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  413. Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models. (2003). Bowsher, Clive.
    In: Economics Papers.
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  414. CROSS-LISTING, PRICE DISCOVERY AND THE INFORMATIVENESS OF THE TRADING PROCESS. (2003). PASCUAL, ROBERTO ; Pascual-Fuster, Bartolomé ; Climent, Francisco.
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  415. Market Informational Inefficiency, Risk Aversion and Quantity Grid. (2003). Lovo, Stefano ; Décamps, Jean-Paul.
    In: IDEI Working Papers.
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  416. Discretized Time and Conditional Duration Modelling for Stock Transaction Data. (2003). Brännäs, Kurt ; Simonsen, Ola.
    In: Umeå Economic Studies.
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  417. When is inter-transaction time informative?. (2003). Furfine, Craig .
    In: Working Paper Series.
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  418. Nonparametric specification tests for conditional duration models. (2003). Grammig, Joachim ; Fernandes, Marcelo.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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  419. Equity trading by institutional investors: Evidence on order submission strategies. (2003). Skjeltorp, Johannes ; Næs, Randi.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:27:y:2003:i:9:p:1779-1817.

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  420. Trading your neighbors ETFs: Competition or fragmentation?. (2003). Boehmer, Ekkehart.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:27:y:2003:i:9:p:1667-1703.

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  421. 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.
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  422. Does Anonymity Matter in Electronic Limit Order Markets?. (2003). Theissen, Erik ; Moinas, Sophie ; Foucault, Thierry.
    In: CEPR Discussion Papers.
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  423. Private Information and High-Frequency Stochastic Volatility. (2003). Steigerwald, Douglas ; Kelly, David.
    In: University of California at Santa Barbara, Economics Working Paper Series.
    RePEc:cdl:ucsbec:qt00n4h4mw.

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  424. Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis. (2003). Osler, Carol.
    In: Journal of Finance.
    RePEc:bla:jfinan:v:58:y:2003:i:5:p:1791-1820.

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  425. Measuring Pricing Inefficiencies Under Stressful Market Conditions. (2003). White, Jay ; Cheng, Louis.
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:30:y:2003:i:3-4:p:383-411.

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  426. Estimating the Probability of Informed Trading: Does Trade Misclassification Matter?. (2002). Theissen, Erik ; Grammig, Joachim G.
    In: Bonn Econ Discussion Papers.
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  427. Time-Varying Arrival Rates of Informed and Uninformed Trades. (2002). Wu, Liuren ; Engle, Robert ; Easley, David.
    In: Finance.
    RePEc:wpa:wuwpfi:0207017.

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  428. Stealth-Trading: Which Traders Trades Move Stock Prices?. (2002). Chakravarty, Sugato.
    In: Finance.
    RePEc:wpa:wuwpfi:0201003.

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  429. Do Bid-Ask Spreads Or Bid and Ask Depths Convey New Information First?. (2002). Chakravarty, Sugato ; Frederick H. deB. Harris, ; Wood, Robert A. ; Frederick H. deB. Harris, .
    In: Econometrics.
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  430. Earnings Announcements and Information Asymmetry: An Intra†Day Analysis*. (2002). , Sean ; Sean , ; Mathieu, Robert ; Libby, Theresa.
    In: Contemporary Accounting Research.
    RePEc:wly:coacre:v:19:y:2002:i:3:p:449-472.

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  431. The Price Impact of Trades in Illiquid Stocks in Periods of High and Low Market Activity. (2002). van Soest, A. H. O., ; Nijman, T E ; Spierdijk, L.
    In: Other publications TiSEM.
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  432. An Empirical Analysis of the Role of the Trading Intensity in Information Dissemination on the NYSE. (2002). Spierdijk, L.
    In: Other publications TiSEM.
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  433. Modeling Comovements in Trading Intensities to Distinguish Sector and Stock Specific News. (2002). van Soest, A. H. O., ; Nijman, T E ; Spierdijk, L.
    In: Other publications TiSEM.
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  434. The Price Impact of Trades in Illiquid Stocks in Periods of High and Low Market Activity. (2002). van soest, arthur ; Nijman, Theo ; Spierdijk, L. ; van Soest, A. H. O., .
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  435. An Empirical Analysis of the Role of the Trading Intensity in Information Dissemination on the NYSE. (2002). Spierdijk, L..
    In: Discussion Paper.
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  436. Modeling Comovements in Trading Intensities to Distinguish Sector and Stock Specific News. (2002). van soest, arthur ; Nijman, Theo ; Spierdijk, L. ; van Soest, A. H. O., .
    In: Discussion Paper.
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  437. Modelling Security Market Events in Continuous Time: Intensity based, Multivariate Point Process Models. (2002). Bowsher, Clive .
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:2002-w22.

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  438. Stop-loss orders and price cascades in currency markets. (2002). Osler, Carol.
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  439. Dividing the Pie. (2002). van Dijk, Mathijs ; Flood, Mark ; Koedijk, C. G. ; van Leeuwen, I. W..
    In: ERIM Report Series Research in Management.
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  440. Time-varying liquidity in foreign exchange. (2002). Lyons, Richard ; Evans, Martin.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:49:y:2002:i:5:p:1025-1051.

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  441. Modeling the interdependence of volatility and inter-transaction duration processes. (2002). Grammig, Joachim ; Wellner, Marc .
    In: Journal of Econometrics.
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  442. Duration, volume and volatility impact of trades. (2002). Manganelli, Simone.
    In: Working Paper Series.
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  443. Duration, volume and volatility impact of trades. (2002). Manganelli, Simone.
    In: Working Paper Series.
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  444. Positive feedback trading under stress: evidence from the US Treasury securities market. (2002). Cohen, Benjamin ; Shin, Hyun Song.
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  446. Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities. (2001). Hautsch, Nikolaus ; Pohlmeier, Winfried.
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  447. Optimal Liquidity Trading. (2001). Huberman, Gur ; Stanzl, Werner .
    In: Yale School of Management Working Papers.
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  448. Arbitrage-Free Price-Update and Price-Impact Functions. (2001). Huberman, Gur ; Stanzl, Werner .
    In: Yale School of Management Working Papers.
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  449. Time-Varying Liquidity in Foreign Exchange. (2001). Evans, Martin ; Lyons, David .
    In: Working Papers.
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  450. The High Volume Return Premium. (2001). Kaniel, Ron ; Gervais, Simon ; Mingelgrin, Dan.
    In: Rodney L. White Center for Financial Research Working Papers.
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  451. Stealth-trading: Which traders trades move stock prices?. (2001). Chakravarty, Sugato ; Sugato, Chakravarty.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:61:y:2001:i:2:p:289-307.

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  452. The impact of public information on investors. (2001). Nofsinger, John R..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:25:y:2001:i:7:p:1339-1366.

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  453. Knowing me, knowing you: : Trader anonymity and informed trading in parallel markets. (2001). Theissen, Erik ; Grammig, Joachim ; Schiereck, Dirk.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:4:y:2001:i:4:p:385-412.

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  454. Competing market makers, liquidity provision, and bid-ask spreads. (2001). Bondarenko, Oleg.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:4:y:2001:i:3:p:269-308.

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  455. Predicting VNET: A model of the dynamics of market depth. (2001). Engle, Robert ; Lange, Joe.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:4:y:2001:i:2:p:113-142.

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  456. A nonlinear autoregressive conditional duration model with applications to financial transaction data. (2001). Russell, Jeffrey R. ; Tsay, Ruey S. ; Zhang, Michael Yuanjie.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:104:y:2001:i:1:p:179-207.

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  457. Cross-listing, price discovery and the informativeness of the trading process. (2001). PASCUAL, ROBERTO ; Pascual-Fuster, Bartolomé ; Climent, Francisco.
    In: DEE - Working Papers. Business Economics. WB.
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  458. A family of autoregressive conditional duration models. (2001). Grammig, Joachim ; Fernandes, Marcelo.
    In: CORE Discussion Papers.
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  459. Option Market Microstructure and Stochastic Volatility. (2001). Steigerwald, Douglas ; Vagnoni, Richard J..
    In: University of California at Santa Barbara, Economics Working Paper Series.
    RePEc:cdl:ucsbec:qt1v2059c2.

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  460. On demand: Cross-country evidence form Commercial Real Estate Asset Markets. (2001). Yoshida, Jiro ; Yi, Ha-Chin ; Riddiough, Timothy J. ; Steven, Ott .
    In: ERES.
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  461. Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model. (2000). Hautsch, Nikolaus ; Gerhard, Frank .
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  462. The euro and international capital markets. (2000). Detken, Carsten ; Hartmann, Philipp.
    In: CFS Working Paper Series.
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  463. The ACD Model: Predictability of the Time Between Concecutive Trades. (2000). Engle, Robert ; Dufour, Alfonso.
    In: ICMA Centre Discussion Papers in Finance.
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  464. FX trading ... LIVE! : dealer behavior and trading systems in foreign exchange markets. (2000). Rime, Dagfinn ; Bjonnes, H..
    In: Memorandum.
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  465. The Euro and International Capital Markets. (2000). Hartmann, Philipp ; Detken, Carsten.
    In: EUI-RSCAS Working Papers.
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  466. Quantifying fluctuations in economic systems by adapting methods of statistical physics. (2000). Amaral, L. A. N., ; Plerou, V. ; Gopikrishnan, P. ; Stanley, H. E..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:287:y:2000:i:3:p:339-361.

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  467. Corporate policies restricting trading by insiders. (2000). Coles, Jeffrey ; Bettis J. C., ; Lemmon M. L., ; Coles J. L., .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:57:y:2000:i:2:p:191-220.

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  468. Market microstructure: A survey. (2000). Madhavan, Ananth.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:3:y:2000:i:3:p:205-258.

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  469. The euro and international capital markets. (2000). Hartmann, Philipp ; Detken, Carsten.
    In: Working Paper Series.
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  470. Adverse selection costs, trading activity and liquidity in the NYSE: an empirical analysis in a dynamic context. (2000). Escribano, Alvaro ; Tapia, Mikel ; Pascual, Roberto.
    In: UC3M Working papers. Economics.
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  524. Market Time and Asset Price Movements Theory and Estimation. (1995). Jasiak, Joann ; gourieroux, christian ; Ghysels, Eric.
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  525. Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects. (1995). Jasiak, Joann ; Ghysels, Eric.
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  526. THE ROLE OF INFORMATION AND THE TIME BETWEEN TRADES: AN EMPIRICAL INVESTIGATION. (1995). Fletcher, Roy A..
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  527. An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse.. (1995). Biais, Bruno ; Spatt, Chester ; Hillion, Pierre .
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