Market Microstructure publications

Below a list of all publications in the field of Market Microstructure. For a list of all publications see the link to the right

2021

Jungsuk Han, James Dow and Francesco Sangiorgi (2021). Hysteresis in price efficiency and the economics of slow moving capital. Review of Financial Studies, vol. 34, pp. 2857-2909

2019

Anders Anderson, Howard Jones and José Martinez (2019). Measuring the Added Value of Stock Recommendations. Journal of Financial and Quantitative Analysis, pp. Forthcoming

Björn Hagströmer and Albert J. Menkveld (2019). Information Revelation in Decentralized Markets. Journal of Finance, vol. 74 , pp. 2751-2787

Matthew Baron, Jonathan Brogaard, Björn Hagströmer, and Andrei Kirilenko (2019). Risk and Return in High-Frequency Trading. Journal of Financial and Quantitative Analysis 54(3): 993-1024

2018

Jungsuk Han and Albert S. Kyle (2018). Speculative Equilibrium with Differences in Higher-Order Beliefs. Management Science, vol. 64(9), pp. 4317-4332

2015

Bo Becker, Torbjörn Becker, Marieke Bos, Peter Englund (Ed.) and Pehr Wissén (2015). Den Svenska Skulden - SNS Konjunkturrådsrapport 2015

2013

Michael Halling, Pam Moulton and Marios Panayides (2013). Volume Dynamics and Multimarket Trading. Journal of Financial and Quantitative Analysis, vol 48. pp. 489-518