This study examines the relationships between the herding of various investor groups and
trading noise in the Taiwan stock market to determine whether any of the investor groups …

The Handbook of Price Impact Modeling provides practitioners and students with a
mathematical framework grounded in academic references to apply price impact models to …

3 Summary Statistics and Correlations 31 3.1 Summary Statistics of the Liquidity
Measures................. 32 3.1. 1 Summary Statistics of Adecco...................... 32 3.1. 2 Summary …

This paper investigates the dynamic linkages between trading volume and investors
sentiments for the S&P500 stock exchange. Two sentiment indicators are considered, the …

Many market participants now employ algorithmic trading, commonly defined as the use of
computer algorithms, to automatically make certain trading decisions, submit orders and …

The purpose of this paper is to investigate the intraday pattern of trading activity, liquidity and
return volatility in the emerging Tunisian Stock Market (TSE) which is an order-driven market …

Market microstructure studies of intraday trading patterns have established that there is a
regular pattern of high volumes near both the open and close of the trading day. O'Hara …

This article focuses on the information effects between the futures market and its spot
market. Intraday data are used to investigate the lead-lag relationships between the returns …

We investigate the temporal correlations and multifractal nature of trading volume of 22
liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that non-universal …

In a dynamic model of financial market trading multiple heterogeneously informed traders
choose when to place orders. Better informed traders trade immediately, worse informed …