A Market-Clearing Role for Inefficiency on a Limit Order Book
Year of publication: |
2006-07-14
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Authors: | Large, Jeremy |
Institutions: | Economics Group, Nuffield College, University of Oxford |
Subject: | stochastic sequential game | ergodic equilibrium | market microstructure | limit order book | market depths | bid-ask spread |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 2006-W08 40 pages |
Classification: | C73 - Stochastic and Dynamic Games ; G14 - Information and Market Efficiency; Event Studies ; G24 - Investment Banking; Venture Capital; Brokerage |
Source: |
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A Market-Clearing Role for Inefficiency on a Limit Order Book
Large, Jeremy, (2006)
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Chapter 9. Market Microstructure
Stoll, Hans R., (2003)
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Balardy, Clara, (2022)
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Estimating quadratic variation when quoted prices jump by a constant increment
Large, Jeremy, (2005)
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Cancellation and Uncertainty Aversion on Limit Order Books
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Field, Jonathan, (2008)
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