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Transaction Cost Analytics for Corporate Bonds

https://doi.org/10.2139/ssrn.3357789
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Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
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How Markets Slowly Digest Changes in Supply and Demand
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Small transaction cost asymptotics and dynamic hedging
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Market transparency, liquidity externalities, and institutional trading costs in corporate bonds☆
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Corporate bond liquidity before and after the onset of the subprime crisis
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The microstructure of the bond market in the 20th century
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A practical framework for estimating transaction costs and developing optimal trading strategies to achieve best execution
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Preprint repository arXiv achieves milestone million uploads
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Linear models for the impact of order flow on prices. I. History dependent impact models
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Structural Models of Corporate Bond Pricing: An Empirical Analysis
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Transparency and Liquidity: A Controlled Experiment on Corporate Bonds
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Regularization and Variable Selection Via the Elastic Net
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Price Manipulation and Quasi-Arbitrage
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THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS
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Corporate Bond Market Transaction Costs and Transparency
inferredcites →https://doi.org/10.1111/jofi.12164openalex-extracted
Click or Call? Auction versus Search in the Over‐the‐Counter Market
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Market Microstructure in Practice
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Markets: Transparency and the Corporate Bond Market
inferredcites →https://doi.org/10.2139/ssrn.2526291openalex-extracted
Dealer Inventory and the Cross-Section of Corporate Bond Returns
inferredcites →https://doi.org/10.2139/ssrn.2543523openalex-extracted
The Liquidity of Dual-Listed Corporate Bonds. Empirical Evidence from Italian Markets
inferredcites →https://doi.org/10.2139/ssrn.2619686openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.2661801openalex-extracted
Transaction Costs, Trade Throughs, and Riskless Principal Trading in Corporate Bond Markets
inferredcites →https://doi.org/10.2139/ssrn.2695382openalex-extracted
Agents' Behavior on Multi-Dealer-to-Client Bond Trading Platforms
inferredcites →https://doi.org/10.2139/ssrn.687134openalex-extracted
The Determinants of Liquidity in the Corporate Bond Markets: An Application of Latent Liquidity
inferredcites →https://doi.org/10.2469/faj.v47.n2.27openalex-extracted
A Methodology for Measuring Transaction Costs
inferredcites →https://doi.org/10.3150/11-bej410openalex-extracted
Least Squares After Model Selection in High-Dimensional Sparse Models
inferredcites →https://doi.org/10.3905/jfi.2003.319345openalex-extracted
Trading Costs in Three U.S. Bond Markets
inferredcites →https://doi.org/10.3905/jpm.2016.42.4.116openalex-extracted
Measuring Bond-Level Liquidity
inferredcites →https://doi.org/10.1016/j.jfineco.2012.08.007openalex-snapshot
The Market for Borrowing Corporate Bonds
inferredcites →https://doi.org/10.1080/14697680903373692openalex-snapshot
No-dynamic-arbitrage and market impact
inferredcites →https://doi.org/10.1080/14697688.2010.528444openalex-snapshot
The price impact of order book events: market orders, limit orders and cancellations
inferredcites →https://doi.org/10.1093/rfs/hhi010openalex-snapshot
An Empirical Analysis of Stock and Bond Market Liquidity
inferredcites →https://doi.org/10.1111/jofi.12759openalex-snapshot
High-Frequency Trading around Large Institutional Orders
inferredcites →https://doi.org/10.1142/s2382626617500046openalex-snapshot
The Behavior of Dealers and Clients on the European Corporate Bond Market: The Case of Multi-Dealer-to-Client Platforms
inferredcites →https://doi.org/10.1214/17-ejs1287openalex-snapshot
Optimal two-step prediction in regression
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Merton's model, credit risk and volatility skews
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