SSRNTrading, Microstructure & Execution
High-Frequency Trading, Asset Pricing, and Market Microstructure
A study using high-frequency trading data provides insights into asset pricing, transaction costs, investor liquidity asymmetry, and seasonality effects.
Featured in No. 53 on 12 Jun 2024 · 3 days after release · 1 citation today
- Released
- 9 Jun 2024
- First featured
- No. 53 · 12 Jun 2024
- Citations (Semantic Scholar)
- 1
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 3
- Identifier
- SSRN 4858807
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).