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Modelling the buy and sell intensity in a limit order book market
Journal of Financial Markets
◽
10.1016/j.finmar.2006.12.002
◽
2007
◽
Vol 10
(3)
◽
pp. 249-286
◽
Cited By ~ 47
Author(s):
Anthony D. Hall
◽
Nikolaus Hautsch
Keyword(s):
Limit Order Book
◽
Order Book
◽
Book Market
◽
Limit Order
Download Full-text
Related Documents
Cited By
References
Liquidity supply and adverse selection in a pure limit order book market
High Frequency Financial Econometrics
◽
10.1007/978-3-7908-1992-2_5
◽
2008
◽
pp. 83-109
◽
Cited By ~ 2
Author(s):
Stefan Frey
◽
Joachim Grammig
Keyword(s):
Adverse Selection
◽
Limit Order Book
◽
Order Book
◽
Book Market
◽
Limit Order
Download Full-text
Liquidity supply and adverse selection in a pure limit order book market
Empirical Economics
◽
10.1007/s00181-005-0009-6
◽
2005
◽
Vol 30
(4)
◽
pp. 1007-1033
◽
Cited By ~ 5
Author(s):
Stefan Frey
◽
Joachim Grammig
Keyword(s):
Adverse Selection
◽
Limit Order Book
◽
Order Book
◽
Book Market
◽
Limit Order
Download Full-text
Trading Activity and Liquidity Supply in a Pure Limit Order Book Market. An Empirical Analysis Using a Multivariate Count Data Model
SSRN Electronic Journal
◽
10.2139/ssrn.676567
◽
2004
◽
Cited By ~ 6
Author(s):
Joachim Grammig
◽
Andréas Heinen
◽
Erick Williams Rengifo
Keyword(s):
Empirical Analysis
◽
Count Data
◽
Data Model
◽
Limit Order Book
◽
Order Book
◽
Book Market
◽
Trading Activity
◽
Limit Order
◽
Count Data Model
Download Full-text
Trading strategy with stochastic volatility in a limit order book market
Decisions in Economics and Finance
◽
10.1007/s10203-020-00278-8
◽
2020
◽
Vol 43
(1)
◽
pp. 277-301
Author(s):
Qing-Qing Yang
◽
Wai-Ki Ching
◽
Jiawen Gu
◽
Tak-Kuen Siu
Keyword(s):
Stochastic Volatility
◽
Trading Strategy
◽
Limit Order Book
◽
Order Book
◽
Book Market
◽
Limit Order
Download Full-text
Implicit Trading Costs, Divergence of Opinion and Short-Selling Constraints in Limit Order Book Market
SSRN Electronic Journal
◽
10.2139/ssrn.1469516
◽
2009
◽
Author(s):
Anh Nguyen
◽
Natalie Oh
◽
Petko S. Kalev
Keyword(s):
Short Selling
◽
Limit Order Book
◽
Order Book
◽
Trading Costs
◽
Book Market
◽
Limit Order
◽
Divergence Of Opinion
Download Full-text
Implicit Trading Costs, Divergence of opinion and Short-selling Constraints in Limit Order Book Market
SSRN Electronic Journal
◽
10.2139/ssrn.1469484
◽
2009
◽
Author(s):
Natalie Oh
◽
Petko S. Kalev
◽
Anh Nguyen
Keyword(s):
Short Selling
◽
Limit Order Book
◽
Order Book
◽
Trading Costs
◽
Book Market
◽
Limit Order
◽
Divergence Of Opinion
Download Full-text
Liquidity: Persistence and Forecast in Open Electronic Limit Order Book Market
SSRN Electronic Journal
◽
10.2139/ssrn.451841
◽
2003
◽
Cited By ~ 1
Author(s):
Santosh Kumar
Keyword(s):
Limit Order Book
◽
Order Book
◽
Book Market
◽
Limit Order
Download Full-text
ORDER PLACEMENT STRATEGIES IN A PURE LIMIT ORDER BOOK MARKET
The Journal of Financial Research
◽
10.1111/j.1475-6803.2008.00234.x
◽
2008
◽
Vol 31
(2)
◽
pp. 113-140
◽
Cited By ~ 42
Author(s):
Charles Cao
◽
Oliver Hansch
◽
Xiaoxin Wang
Keyword(s):
Limit Order Book
◽
Order Book
◽
Book Market
◽
Limit Order
Download Full-text
Trading Costs on a Limit Order Book Market: Evidence from the Paris Bourse
SSRN Electronic Journal
◽
10.2139/ssrn.241728
◽
2000
◽
Cited By ~ 5
Author(s):
Fany Declerck
Keyword(s):
Limit Order Book
◽
Order Book
◽
Trading Costs
◽
Book Market
◽
Limit Order
◽
Paris Bourse
Download Full-text
A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market
SSRN Electronic Journal
◽
10.2139/ssrn.741346
◽
2004
◽
Cited By ~ 2
Author(s):
Nikolaus Hautsch
◽
Tony Hall
Keyword(s):
Continuous Time
◽
Limit Order Book
◽
Time Measurement
◽
Order Book
◽
Book Market
◽
Limit Order
Download Full-text
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