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2. A fractional Hawkes process for illiquidity modeling. (2023). Dupret, Jean-Loup ; Hainaut, Donatien.
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3. Deep Recurrent Factor Model: Interpretable Non-Linear and Time-Varying Multi-Factor Model. (2019). Ito, Tomoki ; Abe, Masaya ; Izumi, Kiyoshi ; Nakagawa, Kei.
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7. Liquidity effects and FFA returns in the international shipping derivatives market. (2015). Tsouknidis, Dimitris ; Kappou, Konstantina ; Visvikis, Ilias ; Alizadeh, Amir H..
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8. Opinion divergence, unexpected trading volume and stock returns: Evidence from China. (2015). Qin, LU ; Chen, Lin ; Zhu, Hongquan.
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9. Does stock market liquidity explain real economic activity? New evidence from two large European stock markets. (2015). Kyriazis, Dimitris ; ARTIKIS, PANAGIOTIS ; Apergis, Nicholas.
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11. First to “Read” the News: News Analytics and Institutional Trading. (2015). Massa, Massimo ; Keim, Donald B ; von Beschwitz, Bastian.
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38. Paying for Market Quality. (2005). Weaver, Daniel G. ; Tanggaard, Carsten ; Anand, Amber.
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39. The joint dynamics of liquidity, returns, and volatility across small and large firms. (2005). Subrahmanyam, Avanidhar ; Sarkar, Asani ; Chordia, Tarun.
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41. The World Price of Liquidity Risk. (2005). Lee, Kuan-Hui.
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45. Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs. (2004). Tan, Sinan ; Lynch, Anthony W..
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46. Flight to Quality, Flight to Liquidity, and the Pricing of Risk. (2004). Vayanos, Dimitri.
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47. Multi-market Trading and Arbitrage. (2004). Karolyi, G. ; Gagnon, Louis.
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48. From Pink Slips to Pink Sheets: Liquidity and Shareholder Wealth Consequences of Nasdaq Delistings. (2004). Harris, Jeffrey ; Panchapagesan, Venkatesh ; Angel, James J. ; Werner, Ingrid.
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49. Asset Pricing with Liquidity Risk. (2003). Pedersen, Lasse ; Acharya, Viral.
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50. On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation. (2003). Ghysels, Eric ; Pereira, Joo.
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