SEARCH

SEARCH BY CITATION

Cited in:

CrossRef

This article has been cited by:

  1. 1
    Huu Nhan Duong, Petko S. Kalev, Anonymity and the Information Content of the Limit Order Book, Journal of International Financial Markets, Institutions and Money, 2014, 30, 205

    CrossRef

  2. 2
    Björn Hagströmer, Lars Nordén, Closing Call Auctions at the Index Futures Market, Journal of Futures Markets, 2014, 34, 4
  3. 3
    Junmao Chiu, Huimin Chung, George H. K. Wang, Intraday Liquidity Provision by Trader Types in a Limit Order Market: Evidence from Taiwan Index Futures, Journal of Futures Markets, 2014, 34, 2
  4. 4
    Jie-Haun Lee, Whei-May Fan, Investors’ perception of corporate governance: a spillover effect of Taiwan corporate scandals, Review of Quantitative Finance and Accounting, 2014, 43, 1, 97

    CrossRef

  5. 5
    Peter Gomber, Uwe Schweickert, Erik Theissen, Liquidity Dynamics in an Electronic Open Limit Order Book: an Event Study Approach, European Financial Management, 2014, 20, 5
  6. 6
    Pawan Jain, Christine Jiang, Predicting future price volatility: Empirical evidence from an emerging limit order market, Pacific-Basin Finance Journal, 2014, 27, 72

    CrossRef

  7. 7
    Miao Luo, Tao Chen, Isabel K. Yan, Price informativeness and institutional ownership: evidence from Japan, Review of Quantitative Finance and Accounting, 2014, 42, 4, 627

    CrossRef

  8. 8
    Martin Scholtus, Dick van Dijk, Bart Frijns, Speed, algorithmic trading, and market quality around macroeconomic news announcements, Journal of Banking & Finance, 2014, 38, 89

    CrossRef

  9. 9
    Elvis Jarnecic, Mark Snape, The Provision of Liquidity by High-Frequency Participants, Financial Review, 2014, 49, 2
  10. 10
    Caihong Xu, Trading Patience, Order Flows, and Liquidity in an Index Futures Market, Journal of Futures Markets, 2014, 34, 8
  11. 11
    Qin Wang, Volatility Discovery Across Stock Limit Order Book and Options Markets, Journal of Futures Markets, 2014, 34, 10
  12. 12
    Marcela Valenzuela, Ilknur Zer, Competition, signaling and non-walking through the book: Effects on order choice, Journal of Banking & Finance, 2013, 37, 12, 5421

    CrossRef

  13. 13
    Shih-Chuan Tsai, Investors' information advantage and order choices in an order-driven market, Pacific-Basin Finance Journal, 2013, 21, 1, 932

    CrossRef

  14. 14
    Rubens Pauluzzo, Enrico Geretto, Stock Exchange Markets in Hong Kong: Structure and Main Problems, Transition Studies Review, 2013, 20, 1, 33

    CrossRef

  15. 15
    Langnan Chen, Jiawen Luo, Hao Liu, The determinants of liquidity with G-RJMCMC-VS model: Evidence from China, Economic Modelling, 2013, 35, 192

    CrossRef

  16. 16
    R. Cont, A. Kukanov, S. Stoikov, The Price Impact of Order Book Events, Journal of Financial Econometrics, 2013, 12, 1, 47

    CrossRef

  17. 17
    Junmao Chiu, Huimin Chung, Keng-Yu Ho, George H.K. Wang, Funding liquidity and equity liquidity in the subprime crisis period: Evidence from the ETF market, Journal of Banking & Finance, 2012, 36, 9, 2660

    CrossRef

  18. 18
    Hélena Beltran-Lopez, Joachim Grammig, Albert J. Menkveld, Limit order books and trade informativeness, The European Journal of Finance, 2012, 18, 9, 737

    CrossRef

  19. 19
    Jón Daníelsson, Richard Payne, Liquidity determination in an order-driven market, The European Journal of Finance, 2012, 18, 9, 799

    CrossRef

  20. 20
    Wolfgang Karl Härdle, Nikolaus Hautsch, Andrija Mihoci, Modelling and forecasting liquidity supply using semiparametric factor dynamics, Journal of Empirical Finance, 2012, 19, 4, 610

    CrossRef

  21. 21
    Michael Frömmel, Frederick Van Gysegem, Spread Components in the Hungarian Forint-Euro Market, Emerging Markets Finance and Trade, 2012, 48, 3, 52

    CrossRef

  22. 22
    Zi-Mei Wang, Chaoshin Chiao, Ya-Ting Chang, Technical analyses and order submission behaviors: Evidence from an emerging market, International Review of Economics & Finance, 2012, 24, 109

    CrossRef

  23. 23
    Michael McKenzie, Ólan T. Henry, The determinants of short selling: evidence from the Hong Kong equity market, Accounting & Finance, 2012, 52,
  24. 24
    Matthew C. Chang, Chung-Fern Wu, Who Offers Liquidity on Options Markets when Volatility is High?, Review of Pacific Basin Financial Markets and Policies, 2012, 15, 04, 1250021

    CrossRef

  25. 25
    Sven S. Groth, Jan Muntermann, An intraday market risk management approach based on textual analysis, Decision Support Systems, 2011, 50, 4, 680

    CrossRef

  26. 26
    Chiao Yi Chang, Fu Shuen Shie, The Relation Between Relative Order Imbalance and Intraday Futures Returns: An Application of the Quantile Regression Model to Taiwan, Emerging Markets Finance and Trade, 2011, 47, 3, 69

    CrossRef

  27. 27
    Alexandra Hachmeister, Dirk Schiereck, Dancing in the dark: post-trade anonymity, liquidity and informed trading, Review of Quantitative Finance and Accounting, 2010, 34, 2, 145

    CrossRef

  28. 28
    Kingsley Y.L. Fong, Wai-Man Liu, Limit order revisions, Journal of Banking & Finance, 2010, 34, 8, 1873

    CrossRef

  29. 29
    Lukas Menkhoff, Carol L. Osler, Maik Schmeling, Limit-order submission strategies under asymmetric information, Journal of Banking & Finance, 2010, 34, 11, 2665

    CrossRef

  30. 30
    Hyuk Choe, Cheol-Won Yang, Liquidity Commonality and its Causes: Evidence from the Korean Stock Market, Asia-Pacific Journal of Financial Studies, 2010, 39, 5
  31. 31
    Ingrid Lo, Stephen G. Sapp, Order aggressiveness and quantity: How are they determined in a limit order market?, Journal of International Financial Markets, Institutions and Money, 2010, 20, 3, 213

    CrossRef

  32. 32
    Ming-Chang Wang, Lon-Ping Zu, Chau-Jung Kuo, Risk aversion, order strategy and price formation, Applied Economics, 2010, 42, 5, 627

    CrossRef

  33. 33
    Lukas Menkhoff, Maik Schmeling, Trader see, trader do: How do (small) FX traders react to large counterparties’ trades?, Journal of International Money and Finance, 2010, 29, 7, 1283

    CrossRef

  34. 34
    Héléna Beltran-Lopez, Pierre Giot, Joachim Grammig, Commonalities in the order book, Financial Markets and Portfolio Management, 2009, 23, 3, 209

    CrossRef

  35. 35
    Suad Elezović, Functional modelling of volatility in the Swedish limit order book, Computational Statistics & Data Analysis, 2009, 53, 6, 2107

    CrossRef

  36. 36
    Rhea Tingyu Zhou, Rose Neng Lai, Herding and information based trading, Journal of Empirical Finance, 2009, 16, 3, 388

    CrossRef

  37. 37
    Hendrik Bessembinder, Marios Panayides, Kumar Venkataraman, Hidden liquidity: An analysis of order exposure strategies in electronic stock markets, Journal of Financial Economics, 2009, 94, 3, 361

    CrossRef

  38. 38
    Min-Hsien Chiang, Tsai-Yin Lin, Chih-Hsien Jerry Yu, Liquidity Provision of Limit Order Trading in the Futures Market Under Bull and Bear Markets, Journal of Business Finance & Accounting, 2009, 36, 7-8
  39. 39
    JON A. GARFINKEL, Measuring Investors' Opinion Divergence, Journal of Accounting Research, 2009, 47, 5
  40. 40
    Chaoshin Chiao, Zi-May Wang, Hsiu-Ling Lai, Order submission behaviors and opening price behaviors: evidence from an emerging market, Review of Quantitative Finance and Accounting, 2009, 33, 3, 253

    CrossRef

  41. You have free access to this content41
    Chaoshin Chiao, Zi-May Wang, Price Clustering: Evidence Using Comprehensive Limit-Order Data, Financial Review, 2009, 44, 1
  42. 42
    Joel Hasbrouck, Gideon Saar, Technology and liquidity provision: The blurring of traditional definitions, Journal of Financial Markets, 2009, 12, 2, 143

    CrossRef

  43. 43
    Helena Beltran, Alain Durré, Pierre Giot, Volatility regimes and order book liquidity: Evidence from the Belgian segment of Euronext, Global Finance Journal, 2009, 20, 1, 80

    CrossRef

  44. 44
    Roberto Pascual, David Veredas, What pieces of limit order book information matter in explaining order choice by patient and impatient traders?, Quantitative Finance, 2009, 9, 5, 527

    CrossRef

  45. 45
    Paul Brockman, Dennis Y. Chung, Commonality under market stress: Evidence from an order-driven market, International Review of Economics & Finance, 2008, 17, 2, 179

    CrossRef

  46. 46
    Alex Frino, Andrew Lepone, Grant Wearin, Intraday behavior of market depth in a competitive dealer market: A note, Journal of Futures Markets, 2008, 28, 3
  47. 47
    Henk Berkman, Paul D. Koch, Noise trading and the price formation process, Journal of Empirical Finance, 2008, 15, 2, 232

    CrossRef

  48. 48
    Charles Cao, Oliver Hansch, Xiaoxin Wang, ORDER PLACEMENT STRATEGIES IN A PURE LIMIT ORDER BOOK MARKET, Journal of Financial Research, 2008, 31, 2
  49. 49
    Yong H. Kim, J. Jimmy Yang, The effect of price limits on intraday volatility and information asymmetry, Pacific-Basin Finance Journal, 2008, 16, 5, 522

    CrossRef

  50. 50
    Shao-Chi Chang, Sheng-Syan Chen, Robin K. Chou, Yueh-Hsiang Lin, Weather and intraday patterns in stock returns and trading activity, Journal of Banking & Finance, 2008, 32, 9, 1754

    CrossRef

  51. 51
    Christine A. Parlour, Duane J. Seppi, Handbook of Financial Intermediation and Banking, 2008,

    CrossRef

  52. 52
    Minh T. Vo, Limit orders and the intraday behavior of market liquidity: Evidence from the Toronto stock exchange, Global Finance Journal, 2007, 17, 3, 379

    CrossRef

  53. 53
    Anthony D. Hall, Nikolaus Hautsch, Modelling the buy and sell intensity in a limit order book market, Journal of Financial Markets, 2007, 10, 3, 249

    CrossRef

  54. 54
    Lorne N Switzer, Haibo Fan, The Transaction Costs of Risk Management vs. Speculation in an Electronic Trading Environment, The Journal of Trading, 2007, 2, 4, 82

    CrossRef

  55. 55
    Lawrence Kryzanowski, Skander Lazrak, Trading Activity, Trade Costs and Informed Trading for Acquisition Targets and Acquirers, The European Journal of Finance, 2007, 13, 5, 405

    CrossRef

  56. 56
    Pierre Giot, Joachim Grammig, How large is liquidity risk in an automated auction market?, Empirical Economics, 2006, 30, 4, 867

    CrossRef

  57. 57
    Stefan Frey, Joachim Grammig, Liquidity supply and adverse selection in a pure limit order book market, Empirical Economics, 2006, 30, 4, 1007

    CrossRef

  58. 58
    Chaoshin Chiao, David C. Cheng, Yunju Shao, The Informative Content of the Net-Buy Information of Institutional Investors in the Taiwan Stock Market: A Revisit Using Conditional Analysis, Review of Pacific Basin Financial Markets and Policies, 2006, 09, 04, 661

    CrossRef

  59. 59
    Adam Blazejewski, Richard Coggins, A local non-parametric model for trade sign inference, Physica A: Statistical Mechanics and its Applications, 2005, 348, 481

    CrossRef

  60. 60
    RONALD L. GOETTLER, CHRISTINE A. PARLOUR, UDAY RAJAN, Equilibrium in a Dynamic Limit Order Market, The Journal of Finance, 2005, 60, 5
  61. 61
    Alexander Kurov, Tatyana Zabotina, Is it time to reduce the minimum tick sizes of the E-mini futures?, Journal of Futures Markets, 2005, 25, 1
  62. 62
    EKKEHART BOEHMER, GIDEON SAAR, LEI YU, Lifting the Veil: An Analysis of Pre-trade Transparency at the NYSE, The Journal of Finance, 2005, 60, 2
  63. 63
    John K. Wald, H. T. Horrigan, Optimal Limit Order Choice, The Journal of Business, 2005, 78, 2, 597

    CrossRef

  64. 64
    Soon Huat Chan, Kenneth A. Kim, S. Ghon Rhee, Price limit performance: evidence from transactions data and the limit order book, Journal of Empirical Finance, 2005, 12, 2, 269

    CrossRef

  65. 65
    Yue-cheong Chan, Price Movement Effects on the State of the Electronic Limit-Order Book, Financial Review, 2005, 40, 2
  66. 66
    Hua Zhang, Share price performance following actual share repurchases, Journal of Banking & Finance, 2005, 29, 7, 1887

    CrossRef

  67. 67
    Robert Bloomfield, Maureen O’Hara, Gideon Saar, The “make or take” decision in an electronic market: Evidence on the evolution of liquidity, Journal of Financial Economics, 2005, 75, 1, 165

    CrossRef

  68. 68
    Shafiqur Rahman, Chandrasekhar Krishnamurti, Alice C. Lee, The Dynamics of Security Trades, Quote Revisions, and Market Depths for Actively Traded Stocks, Review of Quantitative Finance and Accounting, 2005, 25, 2, 91

    CrossRef

  69. 69
    Peter Verhoeven, Simon Ching, Hock Guan Ng, Determinants of the decision to submit market or limit orders on the ASX, Pacific-Basin Finance Journal, 2004, 12, 1, 1

    CrossRef

  70. 70
    Paul Brockman, Dennis Y. Chung, Commonality in Liquidity: Evidence from an Order-Driven Market Structure, Journal of Financial Research, 2002, 25, 4
  71. 71
    Tonny Lybek, Abdourahmane Sarr, Measuring Liquidity in Financial Markets, IMF Working Papers, 2002, 02, 232, 1

    CrossRef

  72. 72
    Hee-Joon Ahn, Jun Cai, Yasushi Hamao, Richard Y.K Ho, The components of the bid–ask spread in a limit-order market: evidence from the Tokyo Stock Exchange, Journal of Empirical Finance, 2002, 9, 4, 399

    CrossRef

  73. 73
    Paul Brockman, Dennis Y. Chung, Managerial timing and corporate liquidity:, Journal of Financial Economics, 2001, 61, 3, 417

    CrossRef

  74. 74
    Combined References,
  75. 75
    Thierry Foucault, Limit Order Markets, Encyclopedia of Quantitative Finance,
  76. 76
    Ioanid Roşu, Order Choice and Information in Limit Order Markets,
  77. 77
    Stephen G. Sapp, Ingrid Lo, Pretrade and Posttrade Transparency,