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   RePEc:oup:revfin:v:26:y:2022:i:1:p:43-77..

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2. Deep convolutional autoencoder for cryptocurrency market analysis. (2019). Puzyrev, Vladimir.
   In: Papers.
   RePEc:arx:papers:1910.12281.

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3. A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low PricesWe propose a new method to estimate the bid-ask spread when quote data are not available. Compared to other low-frequency e. (2017). Ranaldo, Angelo ; Abdi, Farshid.
   In: Working Papers on Finance.
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4. A new spread estimator. (2016). Li, Zhiyong ; Bleaney, Michael.
   In: Review of Quantitative Finance and Accounting.
   RePEc:kap:rqfnac:v:47:y:2016:i:1:d:10.1007_s11156-015-0499-z.

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5. Price distortion induced by a flawed stock market index. (2016). Miwa, Kotaro ; Ueda, Kazuhiro.
   In: Financial Markets and Portfolio Management.
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6. Stock Market Liquidity in Chile. (2016). Brandao Marques, Luis ; Brandao-Marques, Luis.
   In: IMF Working Papers.
   RePEc:imf:imfwpa:2016/223.

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7. Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model. (2016). LINTON, OLIVER ; Chen, Xiaohong ; Yi, Yanping ; Schneeberger, Stefan.
   In: CeMMAP working papers.
   RePEc:ifs:cemmap:12/16.

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8. Discerning information from trade data. (2016). Easley, David ; O'Hara, Maureen ; de Prado, Marcos Lopez.
   In: Journal of Financial Economics.
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9. Transaction costs, liquidity risk, and the CCAPM. (2016). Liu, Weimin ; Zhao, Huainan ; Luo, DI.
   In: Journal of Banking & Finance.
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10. The abrogation of the “Impôt sur les opérations de bourse” did not foster the French stock market. (2016). CAPELLE-BLANCARD, Gunther.
    In: Finance Research Letters.
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11. Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model. (2016). LINTON, OLIVER ; Chen, Xiaohong ; Yi, Yanping ; Schneeberger, Stefan.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:2033.

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12. Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model. (2016). LINTON, OLIVER ; Chen, Xiaohong ; Schneeberger, Stefan.
    In: Cambridge Working Papers in Economics.
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13. Ich bin dann mal weg: Werteffekte von Delistings deutscher Aktiengesellschaften nach dem Frosta-Urteil. (2015). Theissen, Erik ; Limbach, Peter ; Doumet, Markus.
    In: CFR Working Papers.
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14. Extreme Downside Liquidity Risk. (2015). Ruenzi, Stefan ; Ungeheuer, Michael ; Weigert, Florian.
    In: Working Papers on Finance.
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15. The Euro Interbank Repo Market. (2015). Wrampelmeyer, Jan ; Ranaldo, Angelo ; Mancini, Loreano .
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16. Understanding FX Liquidity. (2015). Söderlind, Paul ; Ranaldo, Angelo ; Karnaukh, Nina ; Soderlind, Paul.
    In: Working Papers on Finance.
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17. Illiquidity in the Japanese Day-Ahead Electricity Market. (2015). Ikeda, Shin.
    In: GRIPS Discussion Papers.
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18. Financialization in commodity markets: A passing trend or the new normal?. (2015). Adams, Zeno ; Gluck, Thorsten.
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19. What explains the dynamics of 100 anomalies?. (2015). Jacobs, Heiko.
    In: Journal of Banking & Finance.
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20. Do baths muddy the waters or clear the air?. (2015). Haggard, Stephen K. ; Howe, John S. ; Lynch, Andrew A..
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21. Frontier market transaction costs and diversification. (2015). Visaltanachoti, Nuttawat ; Marshall, Ben ; Nguyen, Nhut H..
    In: Journal of Financial Markets.
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22. On the determinants of pairs trading profitability. (2015). Weber, Martin ; Jacobs, Heiko.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:23:y:2015:i:c:p:75-97.

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23. Sentiment bubbles. (2015). Turtle, Harry J. ; Berger, David.
    In: Journal of Financial Markets.
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24. On the computation of LOT liquidity measure. (2015). Zhao, Wandi ; Wang, Mingjin.
    In: Economics Letters.
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25. An empirical model of fractionally cointegrated daily high and low stock market prices. (2015). Baruník, Jozef ; Dvoakova, Sylvie ; Barunik, Jozef.
    In: Economic Modelling.
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26. Expected Skewness and Momentum. (2015). Weber, Martin ; Regele, Tobias ; Jacobs, Heiko.
    In: CEPR Discussion Papers.
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27. Was the Classical Gold Standard Credible on the Periphery? Evidence from Currency Risk. (2015). Weidenmier, Marc ; Mitchener, Kris .
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28. Institutional Investors and Stock Liquidity: Evidence from Indian Stock Market. (2014). .
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29. Firm Complexity and Post-Earnings-Announcement Drift. (2014). Yildizhan, Celim ; Park, Shawn Saeyeul ; Barinov, Alexander.
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30. The Empirical Analysis of Liquidity. (2014). Subrahmanyam, Avanidhar ; Jacobsen, Stacey ; Holden, Craig W..
    In: Foundations and Trends(R) in Finance.
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31. Counterparty Risk and the Establishment of the New York Stock Exchange Clearinghouse. (2014). Weidenmier, Marc ; Hughson, Eric ; Bernstein, Asaf.
    In: NBER Working Papers.
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32. The Impact of XBRL Adoption on the Information Environment: Evidence from Japan. (2014). Takeda, Fumiko ; Bai, Zhenyang ; Sakaue, Manabu.
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33. News-driven return reversals: Liquidity provision ahead of earnings announcements. (2014). Wang, Sean ; So, Eric C..
    In: Journal of Financial Economics.
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34. The rise and fall of technical trading rule success. (2014). Taylor, Nick.
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35. Commonality in liquidity: An empirical examination of emerging order-driven equity and derivatives market. (2014). Goyal, Abhinav ; Syamala, Sudhakar Reddy ; Reddy, Nagi V..
    In: Journal of International Financial Markets, Institutions and Money.
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36. The impact of the French Tobin tax. (2014). Ferrari, Massimo ; Becchetti, Leonardo ; Trenta, U..
    In: Journal of Financial Stability.
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37. A simple approximation of intraday spreads using daily data. (2014). Zhang, Hao ; Chung, Kee H..
    In: Journal of Financial Markets.
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38. Estimation accuracy of high–low spread estimator. (2014). Lin, Chien-Chih.
    In: Finance Research Letters.
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39. What drives stochastic risk aversion?. (2014). Cho, Sungjun.
    In: International Review of Financial Analysis.
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40. Pricing of liquidity risks: Evidence from multiple liquidity measures. (2014). Kim, Soon-Ho ; Lee, Kuan-Hui.
    In: Journal of Empirical Finance.
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41. An analysis of firm and market volatility. (2014). Sharma, Susan ; Narayan, Paresh ; Zheng, Xinwei.
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42. Determinants of Market Liquidity of Shares Traded on the BM&FBOVESPA. (2014). Correia, Laise Ferraz ; Amaral, Hudson Fernandes.
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43. Economic Valuation of Liquidity Timing. (2013). van der Wel, Michel ; Sojli, Elvira ; Tham, Wing Wah ; Karstanje, Dennis .
    In: Tinbergen Institute Discussion Papers.
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44. An Empirical Market Microstructure Analysis of the Implied Spread Cost in the Japanese Day-Ahead Electricity Market. (2013). Ikeda, Shin.
    In: GRIPS Discussion Papers.
    RePEc:ngi:dpaper:12-22.

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45. No News is News: Do Markets Underreact to Nothing?. (2013). Giglio, Stefano ; Shue, Kelly.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18914.

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46. Short sales, margin purchases and bid–ask spreads. (2013). Zhao, Yan ; Cheng, Lee-Young ; Ni, Cih-Ying ; Chang, Chong-Chuo.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:24:y:2013:i:c:p:199-220.

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47. On the predictability of stock prices: A case for high and low prices. (2013). Santucci de Magistris, Paolo ; Ranaldo, Angelo ; Caporin, Massimiliano.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:12:p:5132-5146.

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48. Economic valuation of liquidity timing. (2013). van der Wel, Michel ; Sojli, Elvira ; Tham, Wing Wah ; Karstanje, Dennis .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:12:p:5073-5087.

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49. Liquidity measurement in frontier markets. (2013). Visaltanachoti, Nuttawat ; Marshall, Ben ; Nguyen, Nhut H..
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:27:y:2013:i:c:p:1-12.

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50. An Empirical Analysis of Liquidity and its Determinants in The German Intraday Market for Electricity. (2013). Hagemann, Simon ; Weber, Christoph.
    In: EWL Working Papers.
    RePEc:dui:wpaper:1317.

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