Optimal trade execution under endogenous order flow

2021 ◽  
Author(s):  
Ying Chen ◽  
Ulrich Horst ◽  
Hoang Hai Tran
Keyword(s):  
Order Flow ◽  
Optimal Trade Execution

Order Flow and Liquidity around NYSE Trading Halts

CFA Digest ◽  
2001 ◽  
Vol 31 (1) ◽  
pp. 45-47
Author(s):  
Bruce D. Phelps
Keyword(s):  
Order Flow ◽  
Trading Halts

The Role of HFT's in Order Flow Toxicity and Stock Price Variance

2014 ◽  
Author(s):  
serhat Yildiz ◽  
Bonnie F. Van Ness ◽  
Robert A. Van Ness
Keyword(s):  
Stock Price ◽  
Order Flow

Caught On Tape: Predicting Institutional Ownership with Order Flow

2004 ◽  
Author(s):  
John Y. Campbell ◽  
Tuomo Vuolteenaho ◽  
Tarun Ramadorai
Keyword(s):  
Institutional Ownership ◽  
Order Flow

Order Flow and Exchange Rate Dynamics in Brazil

2004 ◽  
Author(s):  
Otavio Ribeiro de Medeiros
Keyword(s):  
Exchange Rate ◽  
Order Flow ◽  
Exchange Rate Dynamics

Persistence in Limit Order Flow

2006 ◽  
Author(s):  
Wee Yong Yeo
Keyword(s):  
Order Flow ◽  
Limit Order

The impact of order flow on event study returns: New evidence from zero-leverage firms

2021 ◽  
Vol 80 ◽  
pp. 627-634
Author(s):  
Sijia Zhang ◽  
Andros Gregoriou
Keyword(s):  
Event Study ◽  
Order Flow ◽  
The Impact ◽  
New Evidence

The Riemann–Hilbert approach to the generalized second-order flow of three-wave hierarchy

2021 ◽  
pp. 1-17
Author(s):  
Deng-Shan Wang ◽  
Xiao-Yong Wen
Keyword(s):  
Second Order ◽  
Order Flow

Order Flow Fragmentation and Flight-To-Transparency During Stressed Market Conditions: Evidence From COVID-19

2021 ◽  
pp. 102101
Author(s):  
Giulio Anselmi ◽  
Mahendrarajah Nimalendran ◽  
Giovanni Petrella
Keyword(s):  
Order Flow ◽  
Market Conditions

scholarly journals High-frequency Statistical Arbitrage Strategy Based on Stationarized Order Flow Imbalance

2021 ◽  
Vol 187 ◽  
pp. 518-523
Author(s):  
Qingxue Wang ◽  
Bin Teng ◽  
Qi Hao ◽  
Yufeng Shi
Keyword(s):  
High Frequency ◽  
Order Flow ◽  
Statistical Arbitrage ◽  
Flow Imbalance ◽  
Arbitrage Strategy
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