Chapter 1|4 pages
Introduction
ByIngmar Nolte, Mark Salmon
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Chapter 2|24 pages
Limit order books and trade informativeness
ByHélena Beltran-Lopez, Joachim Grammig, Albert J. Menkveld
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Chapter 3|14 pages
A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices
ByM. Bonato, M. Caporin, A. Ranaldo
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Chapter 4|24 pages
A simple two-component model for the distribution of intraday returns
ByLaura Coroneo, David Veredas
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Chapter 5|24 pages
Liquidity determination in an order-driven market
ByJón Daníelsson, Richard Payne
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Chapter 6|18 pages
Exchange rate determination and inter-market order fl ow effects
ByJón Daníelsson, Jinhui Luo, Richard Payne
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Chapter 7|24 pages
Permanent trading impacts and bond yields
ByAlfonso Dufour, Minh Nguyen
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Chapter 8|20 pages
High-frequency information content in end-user foreign exchange order fl ows
ByIan W. Marsh, Teng Miao
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Chapter 9|36 pages
A detailed investigation of the disposition effect and individual trading behavior: a panel survival approach
ByIngmar Nolte
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Chapter 10|28 pages
How do individual investors trade?
ByIngmar Nolte, Sandra Nolte
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Chapter 11|20 pages
On the hidden side of liquidity
ByAngel Pardo, Roberto Pascual
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Chapter 12|20 pages
Price discovery in spot and futures markets: a reconsideration
ByErik Theissen
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Chapter 13|26 pages
Optimal informed trading in the foreign exchange market
ByPaolo Vitale
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Chapter 14|24 pages
The impact of aggressive orders in an order-driven market: a simulation approach
ByGunther Wuyts
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