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Journal of Financial Markets / Elsevier


1.1

Impact Factor

1.48

5-Years IF

37

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.1000 (%)0.04
19910.10100 (%)0.04
19920.1000 (%)0.04
19930.11000 (%)0.06
19940.12000 (%)0.05
19950.2000 (%)0.07
19960.24000 (%)0.09
19970.28000 (%)0.1
19980.29131360.465660031 (5.5%)40.310.11
19990.540.330.541629140.4838013713724 (6.3%)70.440.14
20000.690.410.691544340.775442920292032 (5.9%)80.530.15
200110.411.181559580.982063131445214 (6.8%)30.20.15
20021.030.431.031978841.0813063031596154 (4.1%)80.420.18
20030.790.451.29221001291.2931934277810134 (10.7%)70.320.19
20040.830.51.07171171511.294494134879327 (6%)211.240.2
20051.150.531.39161332031.5340539458812223 (5.7%)70.440.21
20061.240.521.3181512221.4723533418911619 (8.1%)40.220.21
20070.790.461.23151662381.4332034279211316 (5%)70.470.18
20080.880.481.22171833031.6615733298810712 (7.6%)20.120.2
20091.190.491.65322154001.8638432388313725 (6.5%)140.440.19
20100.840.471.13202354061.7322149419811112 (5.4%)120.60.17
20111.040.531.28232584871.89214525410213114 (6.5%)70.30.21
20120.860.571.19122705201.933943371071274 (10.3%)30.250.21
20131.170.641.6272977322.46231354110416615 (6.5%)260.960.23
20141.360.691.93463438542.4911439531142208 (7%)130.280.23
20151.320.771.51213648132.23357396128193 (%)70.330.24
20161.11.071.48293938142.071067741291911 (10%)70.240.33
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

50 most cited documents in this series:


#YearTitleCited
12002Illiquidity and stock returns: cross-section and time-series effects. (2002). Amihud, Yakov. In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:1:p:31-56.

Full description at Econpapers || Download paper

997
22000Market microstructure: A survey. (2000). Madhavan, Ananth. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:3:p:205-258.

Full description at Econpapers || Download paper

226
31999Order flow composition and trading costs in a dynamic limit order market1. (1999). Foucault, Thierry. In: Journal of Financial Markets. RePEc:eee:finmar:v:2:y:1999:i:2:p:99-134.

Full description at Econpapers || Download paper

176
41998Liquidity and stock returns: An alternative test. (1998). Naik, Narayan Y. ; Datar, Vinay T. ; Radcliffe, Robert. In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:2:p:203-219.

Full description at Econpapers || Download paper

165
51998Optimal control of execution costs. (1998). Lo, Andrew ; Bertsimas, Dimitris . In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:1:p:1-50.

Full description at Econpapers || Download paper

138
62004Market liquidity as a sentiment indicator. (2004). Stein, Jeremy ; Baker, Malcolm. In: Journal of Financial Markets. RePEc:eee:finmar:v:7:y:2004:i:3:p:271-299.

Full description at Econpapers || Download paper

130
72004Order aggressiveness in limit order book markets. (2004). Ranaldo, Angelo. In: Journal of Financial Markets. RePEc:eee:finmar:v:7:y:2004:i:1:p:53-74.

Full description at Econpapers || Download paper

120
82002Price discovery and common factor models. (2002). Baillie, Richard ; Booth, Geoffrey G. ; Tse, Yiuman ; Zabotina, Tatyana . In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:309-321.

Full description at Econpapers || Download paper

110
92013Optimal trading strategy and supply/demand dynamics. (2013). Obizhaeva, Anna ; Wang, Jiang . In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:1:p:1-32.

Full description at Econpapers || Download paper

101
102000Inferring investor behavior: Evidence from TORQ data. (2000). Lee, Charles ; Radhakrishna, Balkrishna. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:2:p:83-111.

Full description at Econpapers || Download paper

92
112003Issues in assessing trade execution costs. (2003). Bessembinder, Hendrik. In: Journal of Financial Markets. RePEc:eee:finmar:v:6:y:2003:i:3:p:233-257.

Full description at Econpapers || Download paper

81
121998Aggressiveness and survival of overconfident traders. (1998). Benos, Alexandros V.. In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:3-4:p:353-383.

Full description at Econpapers || Download paper

80
132005Market microstructure: A survey of microfoundations, empirical results, and policy implications. (2005). Biais, Bruno ; Spatt, Chester ; Glosten, Larry . In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:2:p:217-264.

Full description at Econpapers || Download paper

75
142005Should securities markets be transparent?. (2005). Porter, David ; Madhavan, Ananth ; Weaver, Daniel . In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:3:p:265-287.

Full description at Econpapers || Download paper

70
152000On the occurrence and consequences of inaccurate trade classification. (2000). Odders-White, Elizabeth R.. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:3:p:259-286.

Full description at Econpapers || Download paper

68
162002Some desiderata for the measurement of price discovery across markets. (2002). Lehmann, Bruce N.. In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:259-276.

Full description at Econpapers || Download paper

67
172002Security price adjustment across exchanges: an investigation of common factor components for Dow stocks. (2002). McInish, Thomas ; deB. Harris, Frederick H., ; Wood, Robert A.. In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:277-308.

Full description at Econpapers || Download paper

66
182007Measuring the resiliency of an electronic limit order book. (2007). Large, Jeremy. In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:1:p:1-25.

Full description at Econpapers || Download paper

62
191998Financial analysts and information-based trade. (1998). Easley, David ; Paperman, Joseph ; O'Hara, Maureen . In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:2:p:175-201.

Full description at Econpapers || Download paper

62
202001On the survival of overconfident traders in a competitive securities market. (2001). Luo, Guo Ying ; Hirshleifer, David. In: Journal of Financial Markets. RePEc:eee:finmar:v:4:y:2001:i:1:p:73-84.

Full description at Econpapers || Download paper

58
212005International momentum strategies: a stochastic dominance approach. (2005). Wong, Wing-Keung ; Lean, Hooi Hooi ; Fong, Wai Mun . In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:1:p:89-109.

Full description at Econpapers || Download paper

57
222010The information content of option-implied volatility for credit default swap valuation. (2010). Cao, Charles ; Zhong, Zhaodong ; Yu, Fan . In: Journal of Financial Markets. RePEc:eee:finmar:v:13:y:2010:i:3:p:321-343.

Full description at Econpapers || Download paper

52
232004Impacts of trades in an error-correction model of quote prices. (2004). Patton, Andrew ; Engle, Robert. In: Journal of Financial Markets. RePEc:eee:finmar:v:7:y:2004:i:1:p:1-25.

Full description at Econpapers || Download paper

52
242007Ownership level, ownership concentration and liquidity. (2007). Rubin, Amir . In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:3:p:219-248.

Full description at Econpapers || Download paper

51
252013High frequency trading and the new market makers. (2013). Menkveld, Albert J.. In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:712-740.

Full description at Econpapers || Download paper

50
262005Duration, volume and volatility impact of trades. (2005). Manganelli, Simone. In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:4:p:377-399.

Full description at Econpapers || Download paper

47
272003Quote setting and price formation in an order driven market. (2003). Tiwari, Ashish ; Schwartz, Robert ; Handa, Puneet. In: Journal of Financial Markets. RePEc:eee:finmar:v:6:y:2003:i:4:p:461-489.

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46
282009Technology and liquidity provision: The blurring of traditional definitions. (2009). Saar, Gideon ; Hasbrouck, Joel . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:2:p:143-172.

Full description at Econpapers || Download paper

45
292011Automation, speed, and stock market quality: The NYSEs Hybrid. (2011). Moulton, Pamela C. ; Hendershott, Terrence . In: Journal of Financial Markets. RePEc:eee:finmar:v:14:y:2011:i:4:p:568-604.

Full description at Econpapers || Download paper

44
302006Value of analyst recommendations: International evidence. (2006). Kim, Woojin ; Jegadeesh, Narasimhan . In: Journal of Financial Markets. RePEc:eee:finmar:v:9:y:2006:i:3:p:274-309.

Full description at Econpapers || Download paper

44
312002Measures of contributions to price discovery: a comparison. (2002). de Jong, Frank. In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:323-327.

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43
322013Low-latency trading. (2013). Saar, Gideon ; Hasbrouck, Joel . In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:646-679.

Full description at Econpapers || Download paper

42
331999Intra-day market activity. (1999). Le Fol, Gaelle ; Jasiak, Joann ; gourieroux, christian. In: Journal of Financial Markets. RePEc:eee:finmar:v:2:y:1999:i:3:p:193-226.

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41
341998Strategic trading, asymmetric information and heterogeneous prior beliefs. (1998). Wang, Albert F.. In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:3-4:p:321-352.

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39
351999Market depth and order size1. (1999). Kempf, Alexander ; Korn, Olaf . In: Journal of Financial Markets. RePEc:eee:finmar:v:2:y:1999:i:1:p:29-48.

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39
362007Commonality in the time-variation of stock-stock and stock-bond return comovements. (2007). Connolly, Robert ; Stivers, Chris ; Sun, Licheng . In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:2:p:192-218.

Full description at Econpapers || Download paper

39
372009Systematic noise. (2009). zhu, ning ; Barber, Brad ; Odean, Terrance . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:4:p:547-569.

Full description at Econpapers || Download paper

38
382005Liquidity commonality and return co-movement. (2005). Domowitz, Ian ; Hansch, Oliver ; Wang, Xiaoxin . In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:4:p:351-376.

Full description at Econpapers || Download paper

37
392006Order book characteristics and the volume-volatility relation: Empirical evidence from a limit order market. (2006). Skjeltorp, Johannes ; Næs, Randi ; Naes, Randi . In: Journal of Financial Markets. RePEc:eee:finmar:v:9:y:2006:i:4:p:408-432.

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35
402002Stalking the efficient price in market microstructure specifications: an overview. (2002). Hasbrouck, Joel . In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:329-339.

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35
412002East Asia and Europe during the 1997 Asian collapse: a clinical study of a financial crisis. (2002). Roll, Richard ; Chakrabarti, Rajesh . In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:1:p:1-30.

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34
421998Long-lived information and intraday patterns. (1998). Back, Kerry ; Pedersen, Hal. In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:3-4:p:385-402.

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34
432007The informativeness of domestic and foreign investors stock trades: Evidence from the perfectly segmented Chinese market. (2007). Menkveld, Albert ; Chan, Kalok ; Yang, Zhishu . In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:4:p:391-415.

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34
442000Stock returns and trading at the close. (2000). Madhavan, Ananth ; Cushing, David. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:1:p:45-67.

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33
452007Modelling the buy and sell intensity in a limit order book market. (2007). Hall, Anthony ; Hautsch, Nikolaus. In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:3:p:249-286.

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33
462005Empirical evidence on the evolution of liquidity: Choice of market versus limit orders by informed and uninformed traders. (2005). Chakravarty, Sugato ; Anand, Amber ; Martell, Terrence. In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:3:p:288-308.

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33
471999The alpha factor asset pricing model: A parable. (1999). Simin, Timothy ; Sarkissian, Sergei ; Ferson, Wayne E.. In: Journal of Financial Markets. RePEc:eee:finmar:v:2:y:1999:i:1:p:49-68.

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32
481999The organization of financial exchange markets: Theory and evidence. (1999). Pirrong, Craig . In: Journal of Financial Markets. RePEc:eee:finmar:v:2:y:1999:i:4:p:329-357.

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32
491998Decimalization and competition among stock markets: Evidence from the Toronto Stock Exchange cross-listed securities. (1998). Cao, Charles ; Choe, Hyuk ; Ahn, Hee-Joon . In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:1:p:51-87.

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32
502004The manipulation of closing prices. (2004). Suominen, Matti ; Hillion, Pierre . In: Journal of Financial Markets. RePEc:eee:finmar:v:7:y:2004:i:4:p:351-375.

Full description at Econpapers || Download paper

32

50 most relevant documents in this series (papers most cited in the last two years)


#YearTitleCited
12002Illiquidity and stock returns: cross-section and time-series effects. (2002). Amihud, Yakov. In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:1:p:31-56.

Full description at Econpapers || Download paper

314
22013Optimal trading strategy and supply/demand dynamics. (2013). Obizhaeva, Anna ; Wang, Jiang . In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:1:p:1-32.

Full description at Econpapers || Download paper

51
31998Optimal control of execution costs. (1998). Lo, Andrew ; Bertsimas, Dimitris . In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:1:p:1-50.

Full description at Econpapers || Download paper

43
42004Market liquidity as a sentiment indicator. (2004). Stein, Jeremy ; Baker, Malcolm. In: Journal of Financial Markets. RePEc:eee:finmar:v:7:y:2004:i:3:p:271-299.

Full description at Econpapers || Download paper

40
52013High frequency trading and the new market makers. (2013). Menkveld, Albert J.. In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:712-740.

Full description at Econpapers || Download paper

32
61998Liquidity and stock returns: An alternative test. (1998). Naik, Narayan Y. ; Datar, Vinay T. ; Radcliffe, Robert. In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:2:p:203-219.

Full description at Econpapers || Download paper

30
72002Price discovery and common factor models. (2002). Baillie, Richard ; Booth, Geoffrey G. ; Tse, Yiuman ; Zabotina, Tatyana . In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:309-321.

Full description at Econpapers || Download paper

29
82013Low-latency trading. (2013). Saar, Gideon ; Hasbrouck, Joel . In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:646-679.

Full description at Econpapers || Download paper

25
92011Automation, speed, and stock market quality: The NYSEs Hybrid. (2011). Moulton, Pamela C. ; Hendershott, Terrence . In: Journal of Financial Markets. RePEc:eee:finmar:v:14:y:2011:i:4:p:568-604.

Full description at Econpapers || Download paper

23
101999Order flow composition and trading costs in a dynamic limit order market1. (1999). Foucault, Thierry. In: Journal of Financial Markets. RePEc:eee:finmar:v:2:y:1999:i:2:p:99-134.

Full description at Econpapers || Download paper

20
112010The information content of option-implied volatility for credit default swap valuation. (2010). Cao, Charles ; Zhong, Zhaodong ; Yu, Fan . In: Journal of Financial Markets. RePEc:eee:finmar:v:13:y:2010:i:3:p:321-343.

Full description at Econpapers || Download paper

18
122005International momentum strategies: a stochastic dominance approach. (2005). Wong, Wing-Keung ; Lean, Hooi Hooi ; Fong, Wai Mun . In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:1:p:89-109.

Full description at Econpapers || Download paper

18
132000Market microstructure: A survey. (2000). Madhavan, Ananth. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:3:p:205-258.

Full description at Econpapers || Download paper

18
142002Some desiderata for the measurement of price discovery across markets. (2002). Lehmann, Bruce N.. In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:259-276.

Full description at Econpapers || Download paper

18
152000Inferring investor behavior: Evidence from TORQ data. (2000). Lee, Charles ; Radhakrishna, Balkrishna. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:2:p:83-111.

Full description at Econpapers || Download paper

17
162010A structural analysis of price discovery measures. (2010). Yan, Bingcheng ; Zivot, Eric . In: Journal of Financial Markets. RePEc:eee:finmar:v:13:y:2010:i:1:p:1-19.

Full description at Econpapers || Download paper

16
172004Order aggressiveness in limit order book markets. (2004). Ranaldo, Angelo. In: Journal of Financial Markets. RePEc:eee:finmar:v:7:y:2004:i:1:p:53-74.

Full description at Econpapers || Download paper

16
182005Duration, volume and volatility impact of trades. (2005). Manganelli, Simone. In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:4:p:377-399.

Full description at Econpapers || Download paper

15
192005Liquidity commonality and return co-movement. (2005). Domowitz, Ian ; Hansch, Oliver ; Wang, Xiaoxin . In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:4:p:351-376.

Full description at Econpapers || Download paper

15
202003Issues in assessing trade execution costs. (2003). Bessembinder, Hendrik. In: Journal of Financial Markets. RePEc:eee:finmar:v:6:y:2003:i:3:p:233-257.

Full description at Econpapers || Download paper

15
212009Systematic noise. (2009). zhu, ning ; Barber, Brad ; Odean, Terrance . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:4:p:547-569.

Full description at Econpapers || Download paper

15
222002Security price adjustment across exchanges: an investigation of common factor components for Dow stocks. (2002). McInish, Thomas ; deB. Harris, Frederick H., ; Wood, Robert A.. In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:277-308.

Full description at Econpapers || Download paper

15
232013Very fast money: High-frequency trading on the NASDAQ. (2013). Carrion, Allen . In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:680-711.

Full description at Econpapers || Download paper

15
242007Ownership level, ownership concentration and liquidity. (2007). Rubin, Amir . In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:3:p:219-248.

Full description at Econpapers || Download paper

14
252005Market microstructure: A survey of microfoundations, empirical results, and policy implications. (2005). Biais, Bruno ; Spatt, Chester ; Glosten, Larry . In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:2:p:217-264.

Full description at Econpapers || Download paper

14
262007Commonality in the time-variation of stock-stock and stock-bond return comovements. (2007). Connolly, Robert ; Stivers, Chris ; Sun, Licheng . In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:2:p:192-218.

Full description at Econpapers || Download paper

13
272009Idiosyncratic risk and the cross-section of stock returns: Merton (1987) meets Miller (1977). (2009). Danielsen, Bartley R. ; Sorescu, Sorin M. ; Boehme, Rodney D. ; Kumar, Praveen . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:3:p:438-468.

Full description at Econpapers || Download paper

12
282007Measuring the resiliency of an electronic limit order book. (2007). Large, Jeremy. In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:1:p:1-25.

Full description at Econpapers || Download paper

12
292001On the survival of overconfident traders in a competitive securities market. (2001). Luo, Guo Ying ; Hirshleifer, David. In: Journal of Financial Markets. RePEc:eee:finmar:v:4:y:2001:i:1:p:73-84.

Full description at Econpapers || Download paper

12
302006Value of analyst recommendations: International evidence. (2006). Kim, Woojin ; Jegadeesh, Narasimhan . In: Journal of Financial Markets. RePEc:eee:finmar:v:9:y:2006:i:3:p:274-309.

Full description at Econpapers || Download paper

12
312005Should securities markets be transparent?. (2005). Porter, David ; Madhavan, Ananth ; Weaver, Daniel . In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:3:p:265-287.

Full description at Econpapers || Download paper

11
322004The manipulation of closing prices. (2004). Suominen, Matti ; Hillion, Pierre . In: Journal of Financial Markets. RePEc:eee:finmar:v:7:y:2004:i:4:p:351-375.

Full description at Econpapers || Download paper

11
331998Financial analysts and information-based trade. (1998). Easley, David ; Paperman, Joseph ; O'Hara, Maureen . In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:2:p:175-201.

Full description at Econpapers || Download paper

11
342009Technology and liquidity provision: The blurring of traditional definitions. (2009). Saar, Gideon ; Hasbrouck, Joel . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:2:p:143-172.

Full description at Econpapers || Download paper

11
352000On the occurrence and consequences of inaccurate trade classification. (2000). Odders-White, Elizabeth R.. In: Journal of Financial Markets. RePEc:eee:finmar:v:3:y:2000:i:3:p:259-286.

Full description at Econpapers || Download paper

11
361998Adverse selection and bid-ask spreads: Evidence from closed-end funds. (1998). Neal, Robert ; Wheatley, Simon M.. In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:1:p:121-149.

Full description at Econpapers || Download paper

10
372007Estimating the probability of informed trading--does trade misclassification matter?. (2007). Theissen, Erik ; Grammig, Joachim ; Boehmer, Ekkehart. In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:1:p:26-47.

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10
382014Informational linkages between dark and lit trading venues. (2014). Ray, Sugata ; Nimalendran, Mahendrarajah . In: Journal of Financial Markets. RePEc:eee:finmar:v:17:y:2014:i:c:p:230-261.

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10
392002Stalking the efficient price in market microstructure specifications: an overview. (2002). Hasbrouck, Joel . In: Journal of Financial Markets. RePEc:eee:finmar:v:5:y:2002:i:3:p:329-339.

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402006Order book characteristics and the volume-volatility relation: Empirical evidence from a limit order market. (2006). Skjeltorp, Johannes ; Næs, Randi ; Naes, Randi . In: Journal of Financial Markets. RePEc:eee:finmar:v:9:y:2006:i:4:p:408-432.

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10
412009Do individual investors learn from their trading experience?. (2009). zhu, ning ; Peng, Liang ; Nicolosi, Gina . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:2:p:317-336.

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9
421998Aggressiveness and survival of overconfident traders. (1998). Benos, Alexandros V.. In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:3-4:p:353-383.

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9
432011Patriotism in your portfolio. (2011). Morse, Adair ; Shive, Sophie . In: Journal of Financial Markets. RePEc:eee:finmar:v:14:y:2011:i:2:p:411-440.

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9
442005Price impacts of options volume. (2005). Stoll, Hans ; Schlag, Christian . In: Journal of Financial Markets. RePEc:eee:finmar:v:8:y:2005:i:1:p:69-87.

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9
451998Long-lived information and intraday patterns. (1998). Back, Kerry ; Pedersen, Hal. In: Journal of Financial Markets. RePEc:eee:finmar:v:1:y:1998:i:3-4:p:385-402.

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9
462014A simple approximation of intraday spreads using daily data. (2014). Zhang, Hao ; Chung, Kee H.. In: Journal of Financial Markets. RePEc:eee:finmar:v:17:y:2014:i:c:p:94-120.

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8
472007Modelling the buy and sell intensity in a limit order book market. (2007). Hall, Anthony ; Hautsch, Nikolaus. In: Journal of Financial Markets. RePEc:eee:finmar:v:10:y:2007:i:3:p:249-286.

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8
482011A computing bias in estimating the probability of informed trading. (2011). Lin, Hsiou-Wei William ; Ke, Wen-Chyan . In: Journal of Financial Markets. RePEc:eee:finmar:v:14:y:2011:i:4:p:625-640.

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492011Carry trades, momentum trading and the forward premium anomaly. (2011). Chang, Sanders ; Baillie, Richard T.. In: Journal of Financial Markets. RePEc:eee:finmar:v:14:y:2011:i:3:p:441-464.

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8
502009Option strategies: Good deals and margin calls. (2009). Santa-Clara, Pedro ; Saretto, Alessio . In: Journal of Financial Markets. RePEc:eee:finmar:v:12:y:2009:i:3:p:391-417.

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Citing documents used to compute impact factor 74:


YearTitle
2016Pairs trading with partial cointegration. (2016). Clegg, Matthew ; Krauss, Christopher . In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:052016.

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2016PROFITABILITY OF A SIMPLE PAIRS TRADING STRATEGY: RECENT EVIDENCES FROM A GLOBAL CONTEXT. (2016). Miao, Jia ; Laws, Jason . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:04:p:1650023-01-1650023-18.

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2016The effects of asymmetric volatility and jumps on the pricing of VIX derivatives. (2016). Park, Yang-Ho . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:313-328.

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2016Functional Principal Component Analysis for Derivatives of Multivariate Curves. (2016). Härdle, Wolfgang ; Grith, Maria ; Wagner, Heiko ; Kneip, Alois ; Hardle, Wolfgang K. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2016-033.

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2016Do co-jumps impact correlations in currency markets?. (2016). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef . In: Papers. RePEc:arx:papers:1602.05489.

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2016Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods. (2016). Witzany, Jiří ; Ficura, Milan . In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:66:y:2016:i:4:p:278-301.

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2016Correlation between agricultural markets in dynamic perspective—Evidence from China and the US futures markets. (2016). Li, Sai-Ping ; Tu, Jing-Qing ; Wang, Dong-Hua ; Jia, Rui-Lin . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:464:y:2016:i:c:p:83-92.

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2016Investor Sentiment and Sector Returns. (2016). Sherif, MO ; Salhin, Ahmed ; Jones, Edward . In: CFI Discussion Papers. RePEc:hwe:cfidps:1602.

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2016Spoilt for choice: Order routing decisions in fragmented equity markets. (2016). Theissen, Erik ; Sagade, Satchit ; Weber, Moritz Christian ; Gomber, Peter ; Westheide, Christian . In: SAFE Working Paper Series. RePEc:zbw:safewp:143.

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2016Spoilt for choice: Order routing decisions in fragmented equity markets. (2016). Theissen, Erik ; Gomber, Peter ; Westheide, Christian ; Weber, Moritz Christian ; Sagade, Satchit . In: CFR Working Papers. RePEc:zbw:cfrwps:1604.

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2016The evolving dynamics of the Australian SPI 200 implied volatility surface. (2016). Dempsey, Michael ; Tanha, Hassan . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:43:y:2016:i:c:p:44-57.

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2016Dealer Trading at the Fix. (2016). Osler, Carol . In: Working Papers. RePEc:brd:wpaper:101.

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2016.

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2016Puzzles in the Forex Tokyo “Fixing”: Order Imbalances and Biased Pricing by Banks. (2016). Ito, Takatoshi ; Yamada, Masahiro . In: NBER Working Papers. RePEc:nbr:nberwo:22820.

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2016Downsized FX markets: causes and implications. (2016). Sushko, Vladyslav ; Moore, Michael ; Schrimpf, Andreas . In: BIS Quarterly Review. RePEc:bis:bisqtr:1612e.

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2016An unbiased computation methodology for estimating the probability of informed trading (PIN). (2016). Alici, Asli ; Ersan, Oguz . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:43:y:2016:i:c:p:74-94.

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2016Diversification and Corporate Performance: Evidence from China’s Listed Energy Companies. (2016). Cheng, Ke ; Li, Qiming ; Yang, Xiaoguang ; Wang, Wenhuan ; Lou, Yiping . In: Sustainability. RePEc:gam:jsusta:v:8:y:2016:i:10:p:983-:d:79380.

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2016Changing Times for Frontier Markets; A Perspective from Portfolio Investment Flows and Financial Integration. (2016). Abidi, Nordine ; Nkusu, Mwanza ; Hacibedel, Burcu . In: IMF Working Papers. RePEc:imf:imfwpa:16/177.

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2016Discerning information from trade data. (2016). Easley, David ; O'Hara, Maureen ; de Prado, Marcos Lopez . In: Journal of Financial Economics. RePEc:eee:jfinec:v:120:y:2016:i:2:p:269-285.

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2016Can information be locked up? Informed trading ahead of macro-news announcements. (2016). Bernile, Gennaro ; Tang, Yuehua ; Hu, Jianfeng . In: Journal of Financial Economics. RePEc:eee:jfinec:v:121:y:2016:i:3:p:496-520.

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2016Daily short covering activity and the weekend effect: Evidence from Taiwan. (2016). Zhao, Yan ; Cheng, Lee-Young ; Yan, Zhipeng . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:36:y:2016:i:c:p:166-184.

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2016A dynamic panel analysis of HKEx shorting ban’s impact on the relationship between disagreement and future returns. (2016). Ikeda, Shin ; Zhang, Yan . In: Finance Research Letters. RePEc:eee:finlet:v:17:y:2016:i:c:p:10-16.

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2016Truth and Robustness in Cross-country Law and Finance Regressions: A Bayesian analysis of the Empirical “Law Matters†Thesis. (2016). Xu, Guangdong . In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:6:y:2016:i:6:f:6_6_6.

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2016Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan. (2016). Qayyum, Abdul ; Shah, Sadia Naqi . In: MPRA Paper. RePEc:pra:mprapa:68783.

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2016A new approach to risk-return trade-off dynamics via decomposition. (2016). Liu, Xiaochun ; Frazier, David T. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:62:y:2016:i:c:p:43-55.

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2016Intraday jumps and trading volume: a nonlinear Tobit specification. (2016). JAWADI, Fredj ; Cheffou, Abdoulkarim Idi ; Randrianarivony, Rivo ; Louhichi, Wael . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:47:y:2016:i:4:d:10.1007_s11156-015-0534-0.

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2016Volume, Volatility and Public News Announcements. (2016). Li, Jia ; Xue, Yuan . In: CREATES Research Papers. RePEc:aah:create:2016-19.

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2016Jumps and Information Asymmetry in the US Treasury Market. (2016). Urga, Giovanni ; Dumitru, Ana-Maria . In: EconStor Preprints. RePEc:zbw:esprep:130148.

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2016On the usefulness of intraday price ranges to gauge liquidity in cap-based portfolios. (2016). PETITJEAN, Mikael ; Mazza, Paolo . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:67-81.

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2016Asymmetric information, volatility components and the volume–volatility relationship for the CAC40 stocks. (2016). Slim, Skander ; Dahmene, Meriam . In: Global Finance Journal. RePEc:eee:glofin:v:29:y:2016:i:c:p:70-84.

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2016The international transmission of risk: Causal relations among developed and emerging countries’ term premia. (2016). Moreno Gutiérrez, José ; Moreno Gutiérrez, José ; Melo-Velandia, Luis ; Gomez-Gonzalez, Jose ; Espinosa Torres, Juan ; Moreno-Gutierrez, Jose Fernando ; Espinosa-Torres, Juan Andres ; Moreno Gutiérrez, José. In: Research in International Business and Finance. RePEc:eee:riibaf:v:37:y:2016:i:c:p:646-654.

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2016Optimal allocation of government bond funds through the business cycle. Is money smart?. (2016). Laborda, Ricardo ; Muoz, Fernando . In: International Review of Economics & Finance. RePEc:eee:reveco:v:45:y:2016:i:c:p:46-67.

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2016Voluntary disclosure of corporate venture capital investments. (2016). Mohamed, Abdulkadir ; Schwienbacher, Armin . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:68:y:2016:i:c:p:69-83.

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2016Liquidity, style investing and excess comovement of exchange-traded fund returns. (2016). Broman, Markus S. In: Journal of Financial Markets. RePEc:eee:finmar:v:30:y:2016:i:c:p:27-53.

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2016Price clustering and the stability of stock prices. (2016). Blau, Benjamin ; Griffith, Todd G. In: Journal of Business Research. RePEc:eee:jbrese:v:69:y:2016:i:10:p:3933-3942.

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2016Liquidity, liquidity risk, and information flow: Lessons from an emerging market. (2016). Tissaoui, Kais ; Ftiti, Zied . In: Research in International Business and Finance. RePEc:eee:riibaf:v:37:y:2016:i:c:p:28-48.

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2016Does institutional ownership increase stock return volatility? Evidence from Vietnam. (2016). Vo, Xuan Vinh. In: International Review of Financial Analysis. RePEc:eee:finana:v:45:y:2016:i:c:p:54-61.

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2016Latency reduction and market quality: The case of the Australian Stock Exchange. (2016). Murray, Hamish ; Singh, Harminder . In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:257-265.

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2016A note on the relationship between high-frequency trading and latency arbitrage. (2016). Manahov, Viktor . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:281-296.

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2016Dissecting the bond profitability premium. (2016). Campbell, Colin T ; Petkevich, Alex ; Chichernea, Doina C. In: Journal of Financial Markets. RePEc:eee:finmar:v:27:y:2016:i:c:p:102-131.

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2016Nonparametric long term prediction of stock returns with generated bond yields. (2016). Sperlich, Stefan ; Scholz, Michael ; Nielsen, Jens Perch . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:69:y:2016:i:c:p:82-96.

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2016On the determinants of expected corporate bond returns in Tunisia. (2016). Hammami, Yacine ; Bahri, Maha . In: Research in International Business and Finance. RePEc:eee:riibaf:v:38:y:2016:i:c:p:224-235.

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2016Assessing the information content of short-selling metrics using daily disclosures. (2016). Comerton-Forde, Carole ; Manton, Tom ; Gray, Philip . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:64:y:2016:i:c:p:188-204.

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2016Short interest and aggregate stock returns. (2016). Zhou, Guofu ; Ringgenberg, Matthew ; Rapach, David E. In: Journal of Financial Economics. RePEc:eee:jfinec:v:121:y:2016:i:1:p:46-65.

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2016IPOs and SEOs, real investments, and market timing: Emerging market evidence. (2016). Goyal, Abhinav ; Wadhwa, Kavita ; Reddy, Nagi V ; Mohamed, Abdulkadir . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:45:y:2016:i:c:p:21-41.

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2016Does the simple microstructure model tell the time of the FX intervention? A one day analysis of the Japanese FX intervention. (2016). Kitamura, Yoshihiro. In: Research in International Business and Finance. RePEc:eee:riibaf:v:36:y:2016:i:c:p:436-446.

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2016Tick test accuracy in foreign exchange ECN markets. (2016). ben Omrane, Walid ; Welch, Robert . In: Research in International Business and Finance. RePEc:eee:riibaf:v:37:y:2016:i:c:p:135-152.

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2016Profitability and Market Quality of High Frequency Market-makers: An Empirical Investigation. (2016). Yergeau, Gabriel. In: Working Papers. RePEc:ris:crcrmw:2016_003.

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2016Industry Familiarity and Trading: Evidence from the Personal Portfolios of Industry Insiders. (2016). Ben-David, Itzhak ; Rossi, Andrea ; Birru, Justin . In: NBER Working Papers. RePEc:nbr:nberwo:22115.

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2016Is there information leakage prior to share repurchase announcements? Evidence from daily options trading. (2016). Hao, Qing . In: Journal of Financial Markets. RePEc:eee:finmar:v:27:y:2016:i:c:p:79-101.

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2016Dual ownership, returns, and voting in mergers. (2016). Bodnaruk, Andriy ; Rossi, Marco . In: Journal of Financial Economics. RePEc:eee:jfinec:v:120:y:2016:i:1:p:58-80.

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2016The bond event study methodology since 1974. (2016). Maul, D ; Schiereck, D. In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL). RePEc:dar:wpaper:80723.

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2016How do insiders trade?. (2016). Augustin, Patrick ; Subrahmanyam, Marti G ; Grass, Gunnar ; Brenner, Menachem . In: CFS Working Paper Series. RePEc:zbw:cfswop:541.

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2016Are chartists artists? The determinants and profitability of recommendations based on technical analysis. (2016). Gerritsen, Dirk. In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:179-196.

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2016The role of speculation in international futures markets on commodity prices. (2016). Fam, Papa Gueye . In: Research in International Business and Finance. RePEc:eee:riibaf:v:37:y:2016:i:c:p:49-65.

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2016Beating the market: Can evolutionary-based portfolio optimisation outperform the Talmudic diversification strategy?. (2016). , Sardar ; Nor, Safwan Mohd . In: International Journal of Monetary Economics and Finance. RePEc:ids:ijmefi:v:9:y:2016:i:1:p:90-99.

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2016When did the stock market start to react less to downgrades by Moody’s, S&P and Fitch?. (2016). Marandola, G ; Mossucca, R. In: Working Papers. RePEc:bol:bodewp:wp1066.

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2016Individual stock crowded trades, individual stock investor sentiment and excess returns. (2016). Yang, Chunpeng ; Zhou, Liyun . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:38:y:2016:i:c:p:39-53.

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2016Insider sales in IPOs: Consequences of liquidity needs. (2016). Chua, Ansley ; Nasser, Tareque . In: Journal of Corporate Finance. RePEc:eee:corfin:v:39:y:2016:i:c:p:1-17.

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2016Are retail traders compensated for providing liquidity?. (2016). Sraer, David ; Barrot, Jean-Noel ; Kaniel, Ron . In: Journal of Financial Economics. RePEc:eee:jfinec:v:120:y:2016:i:1:p:146-168.

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2016What do retail FX traders learn?. (2016). Marsh, Ian ; Hayley, Simon . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:64:y:2016:i:c:p:16-38.

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2016Short-selling with a short wait: Trade- and account-level analyses in Korean stock market. (2016). Lee, Kuan-Hui ; Wang, Shu-Feng . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:38:y:2016:i:c:p:209-222.

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2016Benefits from social trading? Empirical evidence for certificates on wikifolios. (2016). Wendt, Stefan ; Horn, Matthias ; Oehler, Andreas . In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:202-210.

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2016Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model. (2016). LINTON, OLIVER ; Chen, Xiaohong ; Schneeberger, Stefan . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1620.

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2016Simple 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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2016Simple 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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2016A PIN per day shows what news convey: the intraday probability of informed trading. (2016). Aitken, Michael ; Wiegand, Ingo ; Poppe, Thomas ; Schiereck, Dirk . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:47:y:2016:i:4:d:10.1007_s11156-015-0535-z.

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2016Investor Sentiment and ETF Liquidity - Evidence from Asia Markets. (2016). Lee, Wo-Chiang ; Tseng, Yung-Ching . In: Advances in Management and Applied Economics. RePEc:spt:admaec:v:6:y:2016:i:1:f:6_1_5.

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2016Risk-neutral skewness and market returns: The role of institutional investor sentiment in the futures market. (2016). Lee, Hsiu-Chuan ; Liao, Tzu-Hsiang ; Chen, Chen . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:35:y:2016:i:c:p:203-225.

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2016An unbiased computation methodology for estimating the probability of informed trading (PIN). (2016). Alici, Asli ; Ersan, Oguz . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:43:y:2016:i:c:p:74-94.

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2016Spoilt for choice: Order routing decisions in fragmented equity markets. (2016). Theissen, Erik ; Sagade, Satchit ; Weber, Moritz Christian ; Gomber, Peter ; Westheide, Christian . In: SAFE Working Paper Series. RePEc:zbw:safewp:143.

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2016Spoilt for choice: Order routing decisions in fragmented equity markets. (2016). Theissen, Erik ; Gomber, Peter ; Westheide, Christian ; Weber, Moritz Christian ; Sagade, Satchit . In: CFR Working Papers. RePEc:zbw:cfrwps:1604.

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2016Understanding the Impacts of Dark Pools on Price Discovery. (2016). Ye, Linlin . In: Papers. RePEc:arx:papers:1612.08486.

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2016Should we be afraid of the dark? Dark trading and market quality. (2016). Putnins, Talis ; Foley, Sean . In: Journal of Financial Economics. RePEc:eee:jfinec:v:122:y:2016:i:3:p:456-481.

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Recent citations (cites in year: CiY)


Recent citations received in 2016

YearCiting document
2016Asymmetric volatility connectedness on forex markets. (2016). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef. In: Papers. RePEc:arx:papers:1607.08214.

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2016Are Order Anticipation Strategies Harmful? A Theoretical Approach. (2016). Strehle, Elias . In: Papers. RePEc:arx:papers:1609.00599.

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2016Insider competition under two-dimensional uncertainty and informational asymmetry. (2016). Bade, Marco . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:79-82.

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2016Risk and return spillovers among the G10 currencies. (2016). Greenwood-Nimmo, Matthew ; Nguyen, Viet Hoang ; Rafferty, Barry . In: Journal of Financial Markets. RePEc:eee:finmar:v:31:y:2016:i:c:p:43-62.

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2016Intraday market making with overnight inventory costs. (2016). Vogt, Erik ; Adrian, Tobias ; Capponi, Agostino ; Zhang, Hongzhong . In: Staff Reports. RePEc:fip:fednsr:799.

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2016Exchange Traded Funds (ETFs). (2016). Moussawi, Rabih ; Franzoni, Francesco ; Ben-David, Itzhak . In: NBER Working Papers. RePEc:nbr:nberwo:22829.

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2016Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models. (2016). Fengler, Matthias ; Herwartz, Helmut . In: MPRA Paper. RePEc:pra:mprapa:72197.

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Recent citations received in 2015

YearCiting document
2015What do stock markets tell us about exchange rates?. (2015). Valente, Giorgio ; Sarno, Lucio ; Payne, Richard ; Cenedese, Gino. In: Bank of England working papers. RePEc:boe:boeewp:0537.

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2015Commonality in Liquidity: What does the order book say?. (2015). Şensoy, Ahmet. In: Working Paper. RePEc:bor:wpaper:1523.

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2015What Do Stock Markets Tell Us About Exchange Rates?. (2015). Valente, Giorgio ; Sarno, Lucio ; Payne, Richard ; Cenedese, Gino. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10685.

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2015What explains the dynamics of 100 anomalies?. (2015). Jacobs, Heiko . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:57:y:2015:i:c:p:65-85.

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2015Was the Forex Fixing Fixed?. (2015). Ito, Takatoshi ; Yamada, Masahiro . In: NBER Working Papers. RePEc:nbr:nberwo:21518.

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2015Liquidity Risk and Time-Varying Correlation Between Equity and Currency Returns. (2015). Jung, Kuk Mo ; Mo, Kuk . In: MPRA Paper. RePEc:pra:mprapa:67416.

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2015Statistical arbitrage pairs trading strategies: Review and outlook. (2015). Krauss, Christopher . In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:092015.

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Recent citations received in 2014

YearCiting document
2014Optimal Execution with Dynamic Order Flow Imbalance. (2014). Bechler, Kyle ; Ludkovski, Mike . In: Papers. RePEc:arx:papers:1409.2618.

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2014Estimación de la prima por vencimiento de los TES en pesos del gobierno colombiano. (2014). Moreno Gutiérrez, José ; Moreno Gutiérrez, José ; Melo-Velandia, Luis ; Espinosa Torres, Juan ; Jose Fernando Moreno Gutierrez, ; Moreno Gutiérrez, José ; Luis Fernando Melo Velandia, ; Juan Andres Espinosa Torres, . In: Borradores de Economia. RePEc:bdr:borrec:854.

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2014Estimación de la prima por vencimiento de los TES en pesos del gobierno colombiano. (2014). Moreno Gutiérrez, José ; Moreno Gutiérrez, José ; Melo-Velandia, Luis ; Espinosa Torres, Juan ; Jose Fernando Moreno Gutierrez, ; Moreno Gutiérrez, José ; Luis Fernando Melo Velandia, ; Juan Andres Espinosa Torres, . In: BORRADORES DE ECONOMIA. RePEc:col:000094:012333.

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2014Reflecting on the VPIN dispute. (2014). Andersen, Torben ; Bondarenko, Oleg . In: Journal of Financial Markets. RePEc:eee:finmar:v:17:y:2014:i:c:p:53-64.

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2014Impact of short selling activity on market dynamics: Evidence from an emerging market. (2014). Erturk, Mutahhar ; Şensoy, Ahmet ; Sobaci, Cihat . In: Journal of Financial Stability. RePEc:eee:finsta:v:15:y:2014:i:c:p:53-62.

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2014The information content of option ratios. (2014). Blau, Benjamin ; Whitby, Ryan J. ; Nguyen, Nga . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:43:y:2014:i:c:p:179-187.

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2014Options resilience during extreme volatility: Evidence from the market events of May 2010. (2014). Goswami, Gautam ; Tan, Sinan ; Cakici, Nusret . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:49:y:2014:i:c:p:262-274.

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2014The Empirical Analysis of Liquidity. (2014). Subrahmanyam, Avanidhar ; Jacobsen, Stacey ; Holden, Craig W.. In: Foundations and Trends(R) in Finance. RePEc:now:fntfin:0500000044.

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2014Effects of Limit Order Book Information Level on Market Stability Metrics. (2014). Paddrik, Mark ; Beling, Peter ; Scherer, William ; Hayes, Roy . In: Working Papers. RePEc:ofr:wpaper:14-09.

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2014Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market. (2014). Skiadopoulos, George ; Kapetanios, George ; Neumann, Michael . In: Working Papers. RePEc:qmw:qmwecw:wp730.

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2014The Role of Speculative Trade in Market Efficiency: Evidence from a Betting Exchange. (2014). Yang, Fuyu ; Brown, Alasdair . In: University of East Anglia Applied and Financial Economics Working Paper Series. RePEc:uea:aepppr:2012_68.

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2014Mandatory portfolio disclosure, stock liquidity, and mutual fund performance. (2014). Tang, Yuehua ; Yang, Baozhong ; Agarwal, Vikas ; Mullally, Kevin Andrew . In: CFR Working Papers. RePEc:zbw:cfrwps:1304r.

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2014Components of intraday volatility and their prediction at different sampling frequencies with application to DAX and BUND futures. (2014). Herrmann, Klaus ; Yu, Weijun ; Teis, Stefan . In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:152014.

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Recent citations received in 2013

YearCiting document
2013Limit Order Books. (2013). Fenn, Daniel J. ; Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark . In: Papers. RePEc:arx:papers:1012.0349.

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2013Capacitary measures for completely monotone kernels via singular control. (2013). Schied, Alexander ; Alfonsi, Aur'elien . In: Papers. RePEc:arx:papers:1201.2756.

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2013Drift dependence of optimal trade execution strategies under transient price impact. (2013). Schied, Alexander ; Lorenz, Christopher . In: Papers. RePEc:arx:papers:1204.2716.

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2013A Pre-Trade Algorithmic Trading Model under Given Volume Measures and Generic Price Dynamics (GVM-GPD). (2013). Shen, Jackie. In: Papers. RePEc:arx:papers:1309.5046.

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2013Optimal Execution Trajectories. Linear Market Impact with Exponential Decay. (2013). Skachkov, Igor . In: Papers. RePEc:arx:papers:1309.6725.

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2013Probabilistic aspects of finance. (2013). Schied, Alexander ; Follmer, Hans . In: Papers. RePEc:arx:papers:1309.7759.

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2013Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets. (2013). Gerig, Austin ; Myers, Benjamin . In: Papers. RePEc:arx:papers:1311.4160.

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2013The order book as a queueing system: average depth and influence of the size of limit orders. (2013). Toke, Ioane Muni . In: Papers. RePEc:arx:papers:1311.5661.

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2013Market Impact Paradoxes. (2013). Skachkov, Igor . In: Papers. RePEc:arx:papers:1312.3349.

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2013A Monte Carlo method for optimal portfolio executions. (2013). Nuyens, Dirk ; Achtsis, Nico . In: Papers. RePEc:arx:papers:1312.5919.

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2013Financial-market Equilibrium with Friction. (2013). Buss, Adrian ; Dumas, Bernard J. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9524.

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2013Economic Modeling for Optimal Trading of Financial Asset in Volatile Market. (2013). Sun, Edward ; Kruse, Timm . In: Economics Bulletin. RePEc:ebl:ecbull:eb-12-00627.

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2013A dynamic limit order market with fast and slow traders. (2013). Hoffmann, Peter . In: Working Paper Series. RePEc:ecb:ecbwps:20131526.

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2013Sub-Penny and Queue-Jumping. (2013). Rindi, Barbara ; Werner, Ingrid M ; Consonni, Francesco ; Buti, Sabrina . In: Working Paper Series. RePEc:ecl:ohidic:2013-18.

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2013The gateway to the profession: Assessing teacher preparation programs based on student achievement. (2013). Goldhaber, Dan ; Liddle, Stephanie ; Theobald, Roddy . In: Economics of Education Review. RePEc:eee:ecoedu:v:34:y:2013:i:c:p:29-44.

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2013Low-latency trading. (2013). Saar, Gideon ; Hasbrouck, Joel . In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:646-679.

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2013Very fast money: High-frequency trading on the NASDAQ. (2013). Carrion, Allen . In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:680-711.

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2013High frequency trading and the new market makers. (2013). Menkveld, Albert J.. In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:712-740.

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2013The diversity of high-frequency traders. (2013). Hagstromer, Bjorn ; Norden, Lars . In: Journal of Financial Markets. RePEc:eee:finmar:v:16:y:2013:i:4:p:741-770.

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2013The order book as a queueing system: average depth and influence of the size of limit orders. (2013). Toke, Ioane Muni . In: Working Papers. RePEc:hal:wpaper:hal-01006410.

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2013High Frequency Traders: Taking Advantage of Speed. (2013). Ait-Sahalia, Yacine ; Saglam, Mehmet . In: NBER Working Papers. RePEc:nbr:nberwo:19531.

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2013Competition between high-frequency traders, and market quality. (2013). Breckenfelder, Johannes. In: MPRA Paper. RePEc:pra:mprapa:66715.

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2013Drift dependence of optimal trade execution strategies under transient price impact. (2013). Schied, Alexander ; Lorenz, Christopher . In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:4:p:743-770.

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2013Limit order books. (2013). Fenn, Daniel J. ; Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:11:p:1709-1742.

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2013Rebuilding the limit order book: sequential Bayesian inference on hidden states. (2013). Christensen, Hugh L. ; Godsill, Simon J. ; Hill, Simon I. ; Turner, Richard E.. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:11:p:1779-1799.

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2013Competition/fragmentation in equities markets: A literature survey. (2013). Theissen, Erik ; Westheide, Christian ; Sagade, Satchit ; Gomber, Peter ; Weber, Moritz Christian . In: SAFE Working Paper Series. RePEc:zbw:safewp:35.

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Source data used to compute the impact factor of RePEc series.

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