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Trading Activity and Price Impact in Parallel Markets: SETS vs. Off-Book Market at the London Stock Exchange

https://doi.org/10.2139/ssrn.1769584
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/b978-012374258-2.50006-3openalex-extracted
How Markets Slowly Digest Changes in Supply and Demand
inferredcites →https://doi.org/10.1016/j.finmar.2008.12.001openalex-extracted
Anonymity, liquidity and fragmentation
inferredcites →https://doi.org/10.1016/j.jfineco.2003.05.005openalex-extracted
Does an electronic stock exchange need an upstairs market?
inferredcites →https://doi.org/10.1016/j.physa.2007.04.090openalex-extracted
Long-memory in an order-driven market
inferredcites →https://doi.org/10.1016/s0304-405x(97)00032-9openalex-extracted
A cross-exchange comparison of execution costs and information flow for NYSE-listed stocks
inferredcites →https://doi.org/10.1016/s0304-405x(99)00044-6openalex-extracted
The investment behavior and performance of various investor types: a study of Finland's unique data set
inferredcites →https://doi.org/10.1046/j.1540-6261.2003.00618.xopenalex-extracted
Competition among Trading Venues: Information and Trading on Electronic Communications Networks
inferredcites →https://doi.org/10.1063/1.2828747openalex-extracted
Correlations and clustering in the trading of members of the London Stock Exchange
inferredcites →https://doi.org/10.1080/14697680400000022openalex-extracted
Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes
inferredcites →https://doi.org/10.1080/14697680701344515openalex-extracted
Relation between bid–ask spread, impact and volatility in order-driven markets
inferredcites →https://doi.org/10.1086/296583openalex-extracted
The Informational Role of Upstairs and Downstairs Trading
inferredcites →https://doi.org/10.1088/1367-2630/10/4/043019openalex-extracted
Specialization and herding behavior of trading firms in a financial market
inferredcites →https://doi.org/10.1088/1367-2630/12/7/075031openalex-extracted
Statistical identification with hidden Markov models of large order splitting strategies in an equity market
inferredcites →https://doi.org/10.1093/rfs/10.1.175openalex-extracted
In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets
inferredcites →https://doi.org/10.1093/rfs/15.4.1111openalex-extracted
Trading and Pricing in Upstairs and Downstairs Stock Markets
inferredcites →https://doi.org/10.1093/rfs/9.1.1openalex-extracted
The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects
inferredcites →https://doi.org/10.1103/physreve.49.1685openalex-extracted
Mosaic organization of DNA nucleotides
inferredcites →https://doi.org/10.1103/physreve.62.r4493openalex-extracted
Statistical properties of share volume traded in financial markets
inferredcites →https://doi.org/10.1103/physreve.65.066126openalex-extracted
Random matrix approach to cross correlations in financial data
inferredcites →https://doi.org/10.1103/physreve.71.066122openalex-extracted
Theory for long memory in supply and demand
inferredcites →https://doi.org/10.1103/physreve.77.036110openalex-extracted
Scaling laws of strategic behavior and size heterogeneity in agent dynamics
inferredcites →https://doi.org/10.1103/physreve.80.066102openalex-extracted
Market impact and trading profile of hidden orders in stock markets
inferredcites →https://doi.org/10.1103/physrevlett.83.1467openalex-extracted
Noise Dressing of Financial Correlation Matrices
inferredcites →https://doi.org/10.1103/physrevlett.83.1471openalex-extracted
Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series
inferredcites →https://doi.org/10.1111/0022-1082.00188openalex-extracted
Herding and Feedback Trading by Institutional and Individual Investors
inferredcites →https://doi.org/10.1111/0022-1082.00387openalex-extracted
Upstairs Market for Principal and Agency Trades: Analysis of Adverse Information and Price Effects
inferredcites →https://doi.org/10.1111/j.1468-0297.2007.02071.xopenalex-extracted
Dealer Liquidity in an Auction Market: Evidence from the London Stock Exchange
inferredcites →https://doi.org/10.1111/j.1540-6261.1990.tb05081.xopenalex-extracted
Equilibrium Block Trading and Asymmetric Information
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb02708.xopenalex-extracted
Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.01061.xopenalex-extracted
Automation versus Intermediation: Evidence from Treasuries Going Off the Run
inferredcites →https://doi.org/10.2139/ssrn.460660openalex-extracted
All that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors
inferredcites →https://doi.org/10.2202/1558-3708.1226openalex-extracted
The Long Memory of the Efficient Market
inferredcites →https://doi.org/10.3386/w11722openalex-extracted
Institutional Investors and Stock Market Volatility
inferredcites →https://doi.org/10.3386/w12223openalex-extracted
Sensation Seeking, Overconfidence, and Trading Activity

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inferred← citeshttps://doi.org/10.2139/ssrn.1890584openalex-snapshot
Identification of Clusters of Investors from Their Real Trading Activity in a Financial Market
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