Flow Toxicity and Liquidity in a High Frequency World

By David E. Scarborough, Donald C Opatrny Chair, Marcos M. López de Prado, M. O 'hara, Robert Almgren, Torben M. Andersen, O. Bondarenko, John Y. Campbell, Ian Domowitz, Robert Engle and 6 more. 2012

218 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9369430bd005d194f9332ae7cbd5a57ace5e9ab3

Citations in the corpus

• Does PIN affect equity prices around the world (2014, unknown): “Introduction Easley and O’Hara (2004) suggest that information risk arising from information asymmetry between informed and uninformed investors is systematic and non-diversifiable. Using a rational expectations asset pricing model, they show that more information asymmetry increases the risk faced ”