A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market
Year of publication: |
2004-03-01
|
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Authors: | Hall, Anthony D. ; Hautsch, Nikolaus |
Institutions: | Finance Discipline Group, Business School |
Subject: | buy and sell arrival process | order book information | market depth | bivariate autoregressive intensity model | buy-sell exces intensity |
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A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market
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