Blar i Artikler, rapporter, filmer / Articles, reports, movies på emneord "market microstructure"
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Tick Size and Price Reversal after Order Imbalance
(Peer reviewed; Journal article, 2021)It is well known that intraday returns tend to reverse the following intraday period, conditional on excess buying pressure on the bid or ask side. This suggests that liquidity providers “overreact” to order imbalance (OIB) ...