1. Modeling the tail risk of crude oil futures using a quantum approach. (2024). Jeong, Minhyuk ; Ahn, Kwangwon.
   In: Palgrave Communications.
   RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-04221-9.

   Full description at Econpapers || Download paper

1. Admati, A. R., & Pfleiderer, P. (1988). A theory of intraday patterns: Volume and price variability. Review of Financial Studies, 1(1), 3–40.

2. Aggarwal, D. (2019). Do bitcoins follow a random walk model? Research in Economics, 73(1), 15–22.

3. Aharon, D., & Qadan, M. (2019). Bitcoin and the day-of-the-week effect. Finance Research Letters, 31, 415–424.

4. Ahn, K., Bi, Y., & Sohn, S. (2019). Price discovery among SSE 50 index-based spot, futures, and options markets. Journal of Futures Markets, 39(2), 238–259.
   Paper not yet in RePEc: Add citation now
   
5. Ahn, K., Choi, M. Y., Dai, B., Sohn, S., & Yang, B. (2017). Modeling stock return distributions with a quantum harmonic oscillator. Europhysics Letters, 120(3), 1–7.
   Paper not yet in RePEc: Add citation now
   

6. Al-Yahyaee, K. H., Mensi, W., & Yoon, S. (2018). Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets. Finance Research Letters, 27, 228–234.

7. Al-Yahyaee, K. H., Mensi, W., Ko, H., Yoon, S., & Kang, S. H. (2020). Why cryptocurrency markets are inefficient: The impact of liquidity and volatility. North American Journal of Economics and Finance, 52, 101168.

8. Alaoui, M., Bouri, E., & Roubaud, D. (2019). Bitcoin price–volume: A multifractal cross-correlation approach. Finance Research Letters, 31, 374–381.
   Paper not yet in RePEc: Add citation now
   
9. Alexander, G., & Ferri, M. (2000). Day-of-the-week patterns in volume and prices of Nasdaq high-yield bonds: New ways to capitalize on information. Journal of Portfolio Management, 26(3), 33–40.
   Paper not yet in RePEc: Add citation now
   

10. Alvarez-Ramirez, J., & Rodriguez, E. (2021). A singular value decomposition approach for testing the efficiency of Bitcoin and Ethereum markets. Economics Letters, 206, 109997.

11. Alvarez-Ramirez, J., Rodriguez, E., & Ibarra-Valdez, C. (2018). Long-range correlations and asymmetry in the Bitcoin market. Physica A: Statistical Mechanics and its Applications, 492, 948–955.
    Paper not yet in RePEc: Add citation now
    

12. Amihud, Y. (2002). Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets, 5(1), 31–56.

13. Arfken, G. B., & Weber, H. J. (1995). Mathematical methods for physicists (4th ed.). Academic Press.
    Paper not yet in RePEc: Add citation now
    

14. Arrow, K. (1962). The economic implications of learning by doing. Review of Economic Studies, 29(3), 155–173.

15. Ataullah, A., Davidson, I., & Tippett, M. (2009). A wave function for stock market returns. Physica A: Statistical Mechanics and its Applications, 388(4), 455–461.

16. Bariviera, A. (2017). The inefficiency of Bitcoin revisited: A dynamic approach. Economics Letters, 161, 1–4.
    Paper not yet in RePEc: Add citation now
    
17. Bartiromo, R. (2004). Dynamics of stock prices. Physical Review E, 69(6), 067108.
    Paper not yet in RePEc: Add citation now
    

18. Biais, B., Bisière, C., Bouvard, M., & Casamatta, C. (2019). The blockchain folk theorem. Review of Financial Studies, 32(5), 1662–1715.

19. Blose, L. E., & Gondhalekar, V. (2013). Weekend gold returns in bull and bear markets. Accounting and Finance, 53(3), 609–622.

20. Brauneis, A., & Mestel, R. (2018). Price discovery of cryptocurrencies: Bitcoin and beyond. Economics Letters, 165, 58–61.

21. Caporale, G. M., Plastun, A., & Oliinyk, V. (2019). Bitcoin fluctuations and the frequency of price overreactions. Financial Markets and Portfolio Management, 33(2), 109–131.

22. Chordia, T., & Swaminathan, B. (2000). Trading volume and cross-autocorrelations in stock returns. Journal of Finance, 55(2), 913–935.

23. Chordia, T., Roll, R., & Subrahmanyam, A. (2008). Liquidity and market efficiency. Journal of Financial Economics, 87(2), 249–268.
    Paper not yet in RePEc: Add citation now
    

24. Cotfas, L. (2013). A finite-dimensional quantum model for the stock market. Physica A: Statistical Mechanics and its Applications, 392(2), 371–380.

25. D’agostino, R. B., Belanger, A., & D’agostino, R. B., Jr. (1990). A suggestion for using powerful and informative tests of normality. American Statistician, 44(4), 316–321.
    Paper not yet in RePEc: Add citation now
    
26. Dai, X., Dai, P. F., Wang, Q., & Ouyang, Z. Y. (2023). The impact of energy-exporting countries’ EPUs on China’s energy futures investors: Risk preference, investment position, and investment horizon. Research in International Business and Finance, 64, 101806.
    Paper not yet in RePEc: Add citation now
    

27. Dai, X., Li, M. C., Xiao, L., & Wang, Q. (2022). COVID-19 and China commodity price jump behavior: An information spillover and wavelet coherency analysis. Resources Policy, 79, 103055.

28. Damodaran, A. (1993). A simple measure of price adjustment coefficients. Journal of Finance, 48(1), 387–400.

29. Daugherty, M. S., & Jithendranathan, T. (2015). A study of linkages between frontier markets and the U.S. equity markets using multivariate GARCH and transfer entropy. Journal of Multinational Financial Management, 32–33, 95–115.

30. Diaconaşu, D., Mehdian, S., & Stoica, O. (2022). An analysis of investors’ behavior in Bitcoin market. PLoS ONE, 17(3), e0264522.

31. Duan, K., Gao, Y., Mishra, T., & Satchell, S. (2023). Efficiency dynamics across segmented Bitcoin markets: Evidence from a decomposition strategy. Journal of International Financial Markets, Institutions & Money, 83, 101742.

32. Engle, R., & Patton, A. (2001). What good is a volatility model? Quantitative Finance, 1(2), 237–245.

33. Fama, E. (1965). The behavior of stock market prices. Journal of Business, 38(1), 34–105.
    Paper not yet in RePEc: Add citation now
    
34. Ferreira, P., Kristoufek, L., & Pereira, E. (2020). DCCA and DMCA correlations of cryptocurrency markets. Physica A: Statistical Mechanics and its Applications, 545, 123803.
    Paper not yet in RePEc: Add citation now
    
35. García-Medina, A., & Farías, G. G. (2020). Transfer entropy as a variable selection methodology of cryptocurrencies in the framework of a high dimensional predictive model. PLoS ONE, 15(1), e0227269.
    Paper not yet in RePEc: Add citation now
    
36. García-Medina, A., & Hernández C, J. B. (2020). Network analysis of multivariate transfer entropy of cryptocurrencies in times of turbulence. Entropy, 22(7), 760.
    Paper not yet in RePEc: Add citation now
    
37. Gençağa, D. (2018). Transfer entropy. Entropy, 20(4), 288.
    Paper not yet in RePEc: Add citation now
    

38. Gevorkyan, A., & Semmler, W. (2016). Oil price, overleveraging and shakeout in the shale energy sector—Game changers in the oil industry. Economic Modelling, 54, 244–259.

39. Grossman, G., & Helpman, E. (1990). Trade, innovation, and growth. American Economic Review, 80(2), 86–91.

40. Huberman, G., Leshno, J. D., & Moallemi, C. (2019). An economist’s perspective on the Bitcoin payment system. AEA Papers and Proceedings, 109, 93–96.
    Paper not yet in RePEc: Add citation now
    
41. Huynh, T. L. D. (2020). The effect of uncertainty on the precious metals market: New insights from transfer entropy and neural network VAR. Resources Policy, 66, 101623.
    Paper not yet in RePEc: Add citation now
    
42. Jang, S. M., Yi, E., Kim, W. C., & Ahn, K. (2019). Information flow between Bitcoin and other investment assets. Entropy, 21(11), 1116.
    Paper not yet in RePEc: Add citation now
    

43. Jiang, Y., Nie, H., & Ruan, W. (2018). Time-varying long-term memory in Bitcoin market. Finance Research Letters, 25, 280–284.

44. Kakinaka, S., & Umeno, K. (2022). Cryptocurrency market efficiency in short- and long-term horizons during COVID-19: An asymmetric multifractal analysis approach. Finance Research Letters, 46, 102319.

45. Kim, M. J., & Park, S. Y. (2022). Testing for market efficiency in cryptocurrencies: Evidence from a non-linear conditional quantile framework. Applied Economics Letters. https://doi.org/10.1080/13504851.2022.2096851 .
    Paper not yet in RePEc: Add citation now
    
46. Kristoufek, L., & Vosvrda, M. (2019). Cryptocurrencies market efficiency ranking: Not so straightforward. Physica A: Statistical Mechanics and its Applications, 531, 120853.
    Paper not yet in RePEc: Add citation now
    
47. Lee, G. H., Joo, K., & Ahn, K. (2020). Market efficiency of the crude palm oil: Evidence from quantum harmonic oscillator. Journal of Physics: Conference Series, 1593(1), 012037.
    Paper not yet in RePEc: Add citation now
    

48. Li, W., Wang, F., Havlin, S., & Stanley, H. E. (2011). Financial factor influence on scaling and memory of trading volume in stock market. Physical Review E, 84(4), 046112.

49. Lo, A. W., & MacKinlay, A. C. (1988). Stock market prices do not follow random walks: Evidence from a simple specification test. Review of Financial Studies, 1(1), 41–66.

50. Lucas, R. (1988). On the mechanics of economic development. Journal of Monetary Economics, 22(1), 3–42.

51. Ma, W. J., Hu, C. K., & Amritkar, R. E. (2004). Stochastic dynamical model for stock-stock correlations. Physical Review E, 70(2), 026101.
    Paper not yet in RePEc: Add citation now
    

52. Meng, X., Zhang, J., & Guo, H. (2016). Quantum Brownian motion model for the stock market. Physica A: Statistical Mechanics and its Applications, 452, 281–288.

53. Meng, X., Zhang, J., Xu, J., & Guo, H. (2015). Quantum spatial-periodic harmonic model for daily price-limited stock markets. Physica A: Statistical Mechanics and its Applications, 438, 154–160.

54. Nadarajah, S., & Chu, J. (2017). On the inefficiency of Bitcoin. Economics Letters, 150, 6–9.

55. Pan, R. K., & Sinha, S. (2007). Collective behavior of stock price movements in an emerging market. Physical Review E, 76(4), 046116.

56. Pedram, P. (2012). The minimal length uncertainty and the quantum model for the stock market. Physica A: Statistical Mechanics and its Applications, 391(5), 2100–2105.

57. Plerou, V., Gopikrishnan, P., Gabaix, X., & Stanley, H. E. (2002). Quantifying stock-price response to demand fluctuations. Physical Review E, 66(2), 027104.
    Paper not yet in RePEc: Add citation now
    
58. Popović, S., & Đurović, A. (2014). Intraweek and intraday trade anomalies: Evidence from FOREX market. Applied Economics, 46(32), 3968–3979.
    Paper not yet in RePEc: Add citation now
    
59. Putz, M. V. (2016). Quantum nanochemistry II: Quantum atoms and periodicity (1st ed.). Apple Academic Press.
    Paper not yet in RePEc: Add citation now
    

60. Qadan, M., Aharon, D., & Eichel, R. (2022). Seasonal and calendar effects and the price efficiency of cryptocurrencies. Finance Research Letters, 46, 102354.

61. Romer, P. (1990). Endogenous technological change. Journal of Political Economy, 98(5), S71–S102.

62. Ruan, Q., Meng, L., & Lv, D. (2021). Effect of introducing Bitcoin futures on the underlying Bitcoin market efficiency: A multifractal analysis. Chaos, Solitons and Fractals, 153, 111576.

63. Ryu, I., Jang, H., Kim, D., & Ahn, K. (2021). Market efficiency of US REITs: A revisit. Chaos, Solitons and Fractals, 150, 111070.

64. Salisu, A. A., Swaray, R., & Oloko, T. (2017). US stocks in the presence of oil price risk: Large cap vs. small cap. Economics and Business Letters, 6(4), 116–124.

65. Sandoval, L. (2014). Structure of a global network of financial companies based on transfer entropy. Entropy, 16(8), 4443–4482.
    Paper not yet in RePEc: Add citation now
    
66. Schreiber, T. (2000). Measuring information transfer. Physical Review Letters, 85(2), 461–464.
    Paper not yet in RePEc: Add citation now
    

67. Segerstrom, P., Anant, T., & Dinopoulos, E. (1990). A Schumpeterian model of the product life cycle. American Economic Review, 80(5), 1077–1091.

68. Shanaev, S., & Ghimire, B. (2022). A generalised seasonality test and applications for cryptocurrency and stock market seasonality. Quarterly Review of Economics and Finance, 86, 172–185.

69. Shynkevich, A. (2021). Impact of bitcoin futures on the informational efficiency of bitcoin spot market. Journal of Futures Markets, 41(1), 115–134.

70. Tiwari, A. K., Jana, R. K., Das, D., & Roubaud, D. (2018). Informational efficiency of Bitcoin—An extension. Economics Letters, 163, 106–109.

71. Vidal-Tomás, D. (2022). All the frequencies matter in the Bitcoin market: An efficiency analysis. Applied Economics Letters, 29(3), 212–218.

72. Vidal-Tomas, D., & Ibanez, A. (2018). Semi-strong efficiency of Bitcoin. Finance Research Letters, 27, 259–265.

73. Wang, G., & Hausken, K. (2022). A Bitcoin price prediction model assuming oscillatory growth and lengthening cycles. Cogent Economics and Finance, 10(1), 2087287.

74. Webb, N. (2018). A fork in the blockchain: Income tax and the Bitcoin/Bitcoin cash hard fork. North Carolina Journal of Law and Technology, 19(4), 283.
    Paper not yet in RePEc: Add citation now
    

75. Wei, W. C. (2018). Liquidity and market efficiency in cryptocurrencies. Economics Letters, 168, 21–24.

76. Wu, X., Wu, L., & Chen, S. (2022). Long memory and efficiency of Bitcoin during COVID-19. Applied Economics, 54(4), 375–389.

77. Ye, C., & Huang, J. P. (2008). Non-classical oscillator model for persistent fluctuations in stock markets. Physica A: Statistical Mechanics and its Applications, 387(5), 1255–1263.

78. Yi, E., Ahn, K., & Choi, M. Y. (2022). Cryptocurrency: Not far from equilibrium. Technological Forecasting and Social Change, 177, 121424.
    Paper not yet in RePEc: Add citation now
    

79. Yi, E., Cho, Y., Sohn, S., & Ahn, K. (2021). After the splits: Information flow between Bitcoin and Bitcoin family. Chaos, Solitons and Fractals, 142, 110464.

80. Yi, E., Yang, B., Jeong, M., Sohn, S., & Ahn, K. (2023). Market efficiency of cryptocurrency: Evidence from the Bitcoin market. Scientific Reports, 13(1), 4789.
    Paper not yet in RePEc: Add citation now
    

81. Young, A. (1993). Invention and bounded learning by doing. Journal of Political Economy, 101(3), 443–472.

82. Young, A. (1998). Growth without scale effects. Journal of Political Economy, 106(1), 41–63.

83. Zargar, F. N., & Kumar, D. (2019). Informational inefficiency of Bitcoin: A study based on high-frequency data. Research in International Business and Finance, 47, 344–353.

84. Zhang, C., & Huang, L. (2010). A quantum model for the stock market. Physica A: Statistical Mechanics and its Applications, 389(24), 5769–5775.

85. Zhang, J., Lai, Y., & Lin, J. (2017). The day-of-the-week effects of stock markets in different countries. Finance Research Letters, 20, 47–62.

86. Zhang, W., Wang, P., Li, X., & Shen, D. (2018). The inefficiency of cryptocurrency and its cross-correlation with Dow Jones industrial average. Physica A: Statistical Mechanics and its Applications, 510, 658–670.

1. A Dynamic Model of the Limit Order Book. (2009). Rosu, Ioanid.
   In: The Review of Financial Studies.
   RePEc:oup:rfinst:v:22:y:2009:i:11:p:4601-4641.

   Full description at Econpapers || Download paper

2. Where is the Market? Evidence from Cross-Listings in the U.S.. (2006). Zechner, Josef ; Pagano, Marco ; Randl, Otto ; Halling, Michael.
   In: CSEF Working Papers.
   RePEc:sef:csefwp:129.

   Full description at Econpapers || Download paper

3. The Impact of the Suspension of Opening and Closing Call. (2005). Green, Christopher ; Camilleri, Silvio.
   In: Finance.
   RePEc:wpa:wuwpfi:0506006.

   Full description at Econpapers || Download paper

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

   Full description at Econpapers || Download paper

5. Foreign Direct Investment vs. Foreiegn Portfolio Investment. (2005). Razin, Assaf ; Goldstein, Itay.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:11047.

   Full description at Econpapers || Download paper

6. Valutation, Liquidity and Risk in Government Bond Markets. (2005). von Thadden, Ernst-Ludwig ; Pagano, Marco ; Favero, Carlo.
   In: Working Papers.
   RePEc:igi:igierp:281.

   Full description at Econpapers || Download paper

7. Explaining cross-border large-value payment flows: evidence from TARGET and EURO 1 data. (2005). Secola, Stefania ; Rosati, Simonetta.
   In: Working Paper Series.
   RePEc:ecb:ecbwps:2005443.

   Full description at Econpapers || Download paper

8. Pre-Bid Run-Ups Ahead of Canadian Takeovers: How Big Is the Problem?. (2005). King, Michael ; Padalko, Maksym.
   In: Staff Working Papers.
   RePEc:bca:bocawp:05-3.

   Full description at Econpapers || Download paper

9. The Impact of the Suspension of Opening and Closing Call. (2004). Green, Christopher ; Camilleri, Silvio.
   In: Finance.
   RePEc:wpa:wuwpfi:0411012.

   Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

12. Volatility forecasts, trading volume, and the ARCH versus option-implied volatility trade-off. (2004). Kamstra, Mark ; Donaldson, Glen.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2004-6.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

14. Comovements in Trading activity: A Multivariate Autoregressive Model of Time Series Count Data Using Copulas. (2004). Heinen, Andréas ; Rengifo, Erick.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:755.

    Full description at Econpapers || Download paper

15. The Effects of Economic News on Bond Market Liquidity. (2004). D'Souza, Chris ; Gaa, Charles.
    In: Staff Working Papers.
    RePEc:bca:bocawp:04-16.

    Full description at Econpapers || Download paper

16. Meta-Communication and Market Dynamics. Reflexive Interactions of Financial Markets and the Mass Media. (2003). Schuster, Thomas.
    In: Finance.
    RePEc:wpa:wuwpfi:0307014.

    Full description at Econpapers || Download paper

17. Futures trading activity and stock price volatility: some extensions. (2003). Song, Frank ; Adrangi, B. ; Chatrath, A..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:13:y:2003:i:9:p:655-664.

    Full description at Econpapers || Download paper

18. The role of information in Hong Kong individual stock futures trading. (2003). Brooks, R. D. ; Mckenzie, M. D..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:13:y:2003:i:2:p:123-131.

    Full description at Econpapers || Download paper

19. An Information-Based Trade Off Between Foreign Direct Investment and Foreign Portfolio Investment: Volatility, Transparency, and Welfare. (2003). Razin, Assaf ; Goldstein, Itay.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9426.

    Full description at Econpapers || Download paper

20. Presión sobre los precios en las revisiones del índice IBEX35. (2003). Gomez Sala, Juan ; Yzaguirre, Jorge .
    In: Investigaciones Economicas.
    RePEc:iec:inveco:v:27:y:2003:i:3:p:491-531.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

22. Dealer Behavior and Trading Systems in Foreign Exchange Markets. (2003). Rime, Dagfinn ; Bjønnes, Geir ; Bjonnes, Geir Hoidal.
    In: SIFR Research Report Series.
    RePEc:hhs:sifrwp:0017.

    Full description at Econpapers || Download paper

23. The use of flow analysis in foreign exchange: exploratory evidence. (2003). Menkhoff, Lukas ; Gehrig, Thomas.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-276.

    Full description at Econpapers || Download paper

24. When is inter-transaction time informative?. (2003). Furfine, Craig.
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-03-04.

    Full description at Econpapers || Download paper

25. Transmission of information across international equity markets. (2003). Wongswan, Jon.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:759.

    Full description at Econpapers || Download paper

26. Nonparametric specification tests for conditional duration models. (2003). Grammig, Joachim ; Fernandes, Marcelo.
    In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:502.

    Full description at Econpapers || Download paper

27. Time-Varying Arrival Rates of Informed and Uninformed Trades. (2002). Wu, Liuren ; Engle, Robert ; Easley, David.
    In: Finance.
    RePEc:wpa:wuwpfi:0207017.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

29. Do Bid-Ask Spreads Or Bid and Ask Depths Convey New Information First?. (2002). Chakravarty, Sugato ; Wood, Robert A. ; Frederick H. deB. Harris, .
    In: Econometrics.
    RePEc:wpa:wuwpem:0201003.

    Full description at Econpapers || Download paper

30. Market Liquidity as a Sentiment Indicator. (2002). Stein, Jeremy ; Baker, Malcolm.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8816.

    Full description at Econpapers || Download paper

31. The market for ADRs and the quality of the Brazilian stock market. (2001). Sanvicente, Antonio.
    In: Finance Lab Working Papers.
    RePEc:ibm:finlab:flwp_42.

    Full description at Econpapers || Download paper

32. FX trading ... LIVE! : dealer behavior and trading systems in foreign exchange markets. (2000). Rime, Dagfinn ; Bjonnes, H..
    In: Memorandum.
    RePEc:hhs:osloec:2000_029.

    Full description at Econpapers || Download paper

33. The role of financial reporting in reducing financial risks in the market. (2000). KOTHARI, S. P..
    In: Conference Series ; [Proceedings].
    RePEc:fip:fedbcp:y:2000:i:jun:p:89-112:n:44.

    Full description at Econpapers || Download paper

34. Durations, Volume and the Prediction of Financial Returns in Transaction Time. (2000). Hafner, Christian.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0599.

    Full description at Econpapers || Download paper

35. Private Information and Trade Timing. (2000). Smith, Lones.
    In: American Economic Review.
    RePEc:aea:aecrev:v:90:y:2000:i:4:p:1012-1018.

    Full description at Econpapers || Download paper

36. Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions. (1999). Hautsch, Nikolaus.
    In: Finance.
    RePEc:wpa:wuwpfi:9904002.

    Full description at Econpapers || Download paper

37. LIFFE cycles: intraday evidence from the FTSE-100 Stock Index futures market. (1999). Wong, Woon ; Copeland, Laurence.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:5:y:1999:i:2:p:123-139.

    Full description at Econpapers || Download paper

38. The Market Microstructure of Central Bank Intervention. (1999). Dominguez, Kathryn.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7337.

    Full description at Econpapers || Download paper

39. Intervention as information: a survey. (1999). Humpage, Owen ; Baillie, Richard ; Osterberg, William P..
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:9918.

    Full description at Econpapers || Download paper

40. Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model. (1998). Engle, Robert ; Russell, Jeffrey R..
    In: CRSP working papers.
    RePEc:wop:chispw:470.

    Full description at Econpapers || Download paper

41. An analysis of brokers trading with applications to order flow internalization and off-exchange sales. (1998). Sarkar, Asani ; Chakravarty, Sugato.
    In: Research Paper.
    RePEc:fip:fednrp:9813.

    Full description at Econpapers || Download paper

42. Is There Private Information in the FX Market? The Tokyo Experiment.. (1997). Lyons, Richard ; Ito, Takatoshi ; Melvin, Michael T..
    In: Research Program in Finance Working Papers.
    RePEc:ucb:calbrf:rpf-270.

    Full description at Econpapers || Download paper

43. Is There Private Information in the FX Market? The Tokyo Experiment. (1997). Melvin, Michael ; Lyons, Richard ; Ito, Takatoshi.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5936.

    Full description at Econpapers || Download paper

44. Trading Volume and Autocorrelation: Empirical Evidence from the Stockholm Stock Exchange. (1997). Safvenblad, Patrik.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0191.

    Full description at Econpapers || Download paper

45. Is there private information in the FX market? the Tokyo experiment. (1997). Lyons, Richard ; Ito, Takatoshi ; Melvin, Michael T..
    In: Pacific Basin Working Paper Series.
    RePEc:fip:fedfpb:97-04.

    Full description at Econpapers || Download paper

46. Public Information Arrival, Exchange Rate Volatility, and Quote Frequency. (1996). Melvin, Michael ; Yin, Xixi.
    In: Working Papers.
    RePEc:wop:astewp:9601.

    Full description at Econpapers || Download paper

47. Dynamic Equilibrium and Volatility in Financial Asset Markets. (1996). Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5479.

    Full description at Econpapers || Download paper

48. Long-Lived Information and Intraday Patterns. (1995). Back, Kerry ; Pedersen, Hal.
    In: Finance.
    RePEc:wpa:wuwpfi:9507009.

    Full description at Econpapers || Download paper

49. Long-Lived Information and Intraday Patterns. (1995). Back, Kerry ; Pedersen, Hal.
    In: Finance.
    RePEc:wpa:wuwpfi:9507008.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

Report date: 2025-09-21 18:02:29 || Missing content? Let us know