Concepedia

Asynchronous Trading

Asynchronous Trading is a phenomenon in high-frequency data analysis characterized by the occurrence of trades in related assets at non-synchronized time intervals, leading to cross-asset price discrepancies and complicating the measurement of contemporaneous market relationships.

40

Publications

3K

Citations

76

Authors

78

Institutions

Publications per year

2017–2026

8

Parents

Publications

40

Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

Trinity's Access to Research Output (TARA) (Trinity College Dublin) · 2013 · 521 citations

, , +14

Recent trends in trading activity and market quality

Tarun Chordia, Richard Roll, Avanidhar Subrahmanyam · Journal of Financial Economics · 2011 · 474 citations

, , +15

A No‐Arbitrage Approach to Range‐Based Estimation of Return Covariances and Correlations*

Michael W. Brandt, Francis X. Diebold · The Journal of Business · 2006 · 206 citations

, , +17

Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading

Ole E. Barndorff–Nielsen, Peter Reinhard Hansen, Asger Lunde et al. · SSRN Electronic Journal · 2010 · 186 citations · Full text

, , +14

Recent Trends in Trading Activity and Market Quality

Tarun Chordia, Richard Roll, Avanidhar Subrahmanyam · SSRN Electronic Journal · 2010 · 153 citations · Full text

, , +15

1–5 of 40

Authors

76

  1. FC
    Fulvio Corsi

    University of Pisa, Italy

    4 publications · 114 citations

    4

    h-index

  2. NS
    Neil Shephard

    University of Oxford, United Kingdom

    4 publications · 265 citations

    4

    h-index

  3. SP
    Stefano Peluso

    Università Cattolica del Sacro Cuore, Italy

    3 publications · 64 citations

    3

    h-index

  4. GB
    Giuseppe Buccheri

    Scuola Normale Superiore, Italy

    2 publications · 80 citations

    2

    h-index

  5. CD
    Cees Diks

    University of Amsterdam, Netherlands

    2 publications · 120 citations

    2

    h-index

1–5 of 76

Institutions

78

  1. City, University of London

    London, United Kingdom

    4 h-index

    4 publications

    114 citations

  2. University of Pisa

    Pisa, Italy

    3 h-index

    3 publications

    91 citations

  3. Cornell University

    Ithaca, United States

    2 h-index

    4 publications

    1.5K citations

  4. Emory University

    Atlanta, United States

    2 h-index

    4 publications

    1.6K citations

  5. Aarhus University

    Aarhus, Denmark

    2 h-index

    4 publications

    418 citations

  6. University of Florence

    Florence, Italy

    2 h-index

    2 publications

    62 citations

  7. University of Amsterdam

    Amsterdam, The Netherlands

    2 h-index

    4 publications

    240 citations

  8. Harvard University

    Cambridge, United States

    2 h-index

    2 publications

    97 citations

1–8 of 78

Venues

  1. SSRN Electronic Journal

    Repository · 6 publications · 407 citations

    6

    h-index

  2. Journal of Financial Economics

    2 publications · 552 citations

    2

    h-index

  3. Journal of Econometrics

    2 publications · 68 citations

    2

    h-index

  4. Journal of Financial Econometrics

    2 publications · 61 citations

    2

    h-index

  5. Journal of Business and Economic Statistics

    JBES · 2 publications · 80 citations

    2

    h-index

1–5