View Author

Sarkar, A.

(Asani Sarkar)

trade customer market announcement customer ﬂ ow price trading trader inventory order market makers maker nonannouncement days sample announcement days result information future method nonannouncement model journal open-outcry volume open-outcry sample state position intermediary treasury interval table contract study number market maker signi order ﬂ ow account own-account informativenes increase minute liquidity access local difference estimate transaction section inventory position ﬂuential analysis regression percentage space dataset regime hasbrouck signi ﬁcance surprise macro customer volume signi ﬁcant sarkar change broker menkveld figure question kalman filter ﬂuential announcement types profit day t ﬁcant distribution | p 1 algorithm filter ﬁtability 15 minutes

2 Most Recent Publications

Customer order flow, intermediaries, and discovery of the equilibrium risk-free rate (Article) Menkveld, A.J. Sarkar, A. Wel, M. van der	2012-08-01
Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes (Research Paper) Wel, M. van der Menkveld, A.J. Sarkar, A.	2009-05-01

Message*:
Your Email Adress*:
	*: Required fields, please provide an email address so that the RePub team can contact you if needed.