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publications

(46)   

• A generalised Bayesian model of market microstructure behaviour applied to the market in Irish government securities
  Peter G. Dunne International Review of Financial Analysis9(4):369--388002000.
  to Market microstructure by smicha on Apr 29, 2008, 8:06 AM
  URL | BibTeX 
• Intra-night trading behaviour of Australian treasury-bond futures overnight options
  Liping Zou and Lawrence C. Rose and John F. Pinfold International Review of Financial Analysis15(4-5):415--433(2006)
  to Microstructure by smicha on Apr 29, 2008, 8:06 AM
  URL | BibTeX 
• The intraday effect and the extension of trading hours for Taiwanese securities
  Yu-Ju Fan and Hung-Neng Lai International Review of Financial Analysis15(4-5):328--347(2006)
  to Microstructure by smicha on Apr 29, 2008, 8:06 AM
  URL | BibTeX 
• Common factors in liquidity: Evidence from Taiwan's OTC stock market
  Jie-Haun Lee and Shu-Ying Lin and Wan-Chen Lee and Chueh-Yung Tsao International Review of Financial Analysis15(4-5):306--327(2006)
  to Microstructure by smicha on Apr 29, 2008, 8:06 AM
  URL | BibTeX 
• Life in the pits: competitive market making and inventory control--further Australian evidence
  Alex Frino and Peter Forrest and Matthew Duffy Journal of Multinational Financial Management9(3-4):373--385Nov1999.
  to Microstructure by smicha on Apr 29, 2008, 8:06 AM
  URL | BibTeX 
• Informed trading and the bid-ask spread: evidence?from an emerging market
  Jan Hanousek and Richard Podpiera Journal of Comparative Economics31(2):275--296Jun2003.
  to Market microstructure by smicha on Apr 28, 2008, 1:27 PM
  URL | BibTeX 
• Intraday trade in dealership markets
  Dan Bernhardt and Eric Hughson European Economic Review46(9):1697--1732Oct2002.
  to microstructure Market by smicha on Apr 28, 2008, 1:05 PM
  URL | BibTeX 
• Asset return dynamics and the FX risk premium in a decentralized dealer market
  Alexis Derviz European Economic Review48(4):747--784Aug2004.
  to microstructure FX by smicha on Apr 28, 2008, 1:05 PM
  URL | BibTeX 
• Testing for asymmetric information and inventory control effects in market maker behaviour on the London Stock Exchange
  Andy Snell and Ian Tonks Journal of Empirical Finance5(1):1--25Jan1998.
  to Market microstructure by smicha on Apr 23, 2008, 10:05 PM
  URL | BibTeX 
• Price effects of trading and components of the bid-ask spread on the Paris Bourse
  Frank de Jong and Theo Nijman and Ailsa Röell Journal of Empirical Finance3(2):193--213Jun1996.
  to Microstructure by smicha on Apr 23, 2008, 10:05 PM
  URL | BibTeX 
• Do buyers and sellers behave similarly in a limit order book?: A high-frequency data examination of the Finnish stock exchange
  Kaj Hedvall and Jonas Niemeyer and Gunnar Rosenqvist Journal of Empirical Finance4(2-3):279--293Jun1997.
  to microstructure Market by smicha on Apr 23, 2008, 10:05 PM
  URL | BibTeX 
• The information content of the trading process
  David Easley and Nicholas M. Kiefer and Maureen O'Hara Journal of Empirical Finance4(2-3):159--186Jun1997.
  to Market microstructure by smicha on Apr 23, 2008, 10:05 PM
  URL | BibTeX 
• Liquidity provision in the overnight foreign exchange market
  Geir Hoidal Bjonnes and Dagfinn Rime and Haakon O. Aa. Solheim Journal of International Money and Finance24(2):175--196Mar2005.
  to Microstructure by smicha on Apr 23, 2008, 10:05 PM
  URL | BibTeX 
• Noise trading and the price formation process
  Henk Berkman and Paul D. Koch Journal of Empirical Finance15(2):232--250Mar2008.
  to microstructure Market by smicha on Apr 23, 2008, 10:05 PM
  URL | BibTeX 
• Observed and "fundamental" price-earning ratios: A comparative analysis of high-tech stock evaluation in the US and in Europe
  Michele Bagella and Leonardo Becchetti and Fabrizio Adriani Journal of International Money and Finance24(4):549--581Jun2005.
  to market Financial microstructure by smicha on Apr 23, 2008, 10:05 PM
  URL | BibTeX 
• Post-trade transparency on Nasdaq's national market system
  David C. Porter and Daniel G. Weaver Journal of Financial Economics50(2):231--252Nov1998.
  to microstructure Market by smicha on Apr 22, 2008, 3:17 PM
  URL | BibTeX 
• A closing call's impact on market quality at Euronext Paris
  Michael S. Pagano and Robert A. Schwartz Journal of Financial Economics68(3):439--484Jun2003.
  to microstructure Market by smicha on Apr 22, 2008, 3:17 PM
  URL | BibTeX 
• The probability and magnitude of information events
  Elizabeth R. Odders-White and Mark J. Ready Journal of Financial Economics87(1):227--248Jan2008.
  to Microstructure by smicha on Apr 22, 2008, 3:17 PM
  URL | BibTeX 
• A simultaneous trade model of the foreign exchange hot potato
  Richard K. Lyons Journal of International Economics42(3-4):275--298May1997.
  to Microstructure by smicha on Apr 22, 2008, 3:17 PM
  URL | BibTeX 
• Econometric models of limit-order executions
  Andrew W. Lo and A. Craig MacKinlay and June Zhang Journal of Financial Economics65(1):31--71Jul2002.
  to microstructure Market by smicha on Apr 22, 2008, 3:17 PM
  URL | BibTeX