Revisiting the Stealth Trading Hypothesis: Does Time-Varying Liquidity Explain the Sitze-Effect?

Author(s)
Gökhan Cebiroglu, Nikolaus Hautsch, Christopher Walsh
Organisation(s)
Department of Statistics and Operations Research, Research Network Data Science
External organisation(s)
Technische Universität Dortmund, Credit Suisse
Publication date
2019
Austrian Fields of Science 2012
502009 Corporate finance, 502025 Econometrics
Portal url
https://ucris.univie.ac.at/portal/en/publications/revisiting-the-stealth-trading-hypothesis-does-timevarying-liquidity-explain-the-sitzeeffect(7361b9b6-50e9-4035-914d-896b58cdc391).html