The term structure of liquidity provision
We examine realized spreads and price impact in clock and trade time following each trade
in all common stocks from 2010 to 2017. The term structure of realized spreads (price …
in all common stocks from 2010 to 2017. The term structure of realized spreads (price …
Do hidden orders contain information? Evidence from cross-sectional returns and corporate events
C Yao - Evidence from Cross-Sectional Returns and Corporate …, 2017 - papers.ssrn.com
Using two unique data sets of NASDAQ stocks, I examine the influence and informational
role of hidden orders in the NASDAQ. I find that as much as 20% of trading volume is …
role of hidden orders in the NASDAQ. I find that as much as 20% of trading volume is …
[BOOK][B] Three essays on market transparency
C Yao - 2013 - search.proquest.com
This is an empirical study of the market transparency on the US equity market. The
dissertation is composed of three essays. Using two unique data sets on NASDAQ stocks …
dissertation is composed of three essays. Using two unique data sets on NASDAQ stocks …