Analysis of Order Queues.

The bid and ask curves give the demand and supply prices as functions of the instantaneously traded volume. The aim of this paper is the definition, interpretation and intraday analysis of such bid-ask curves. We provide some illustrations from the Paris Bourse quote by quote data.

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Year of publication:	1996
Authors:	Gourieroux, C. ; Le Fol, G. ; Meyer, B.
Subject:	AUCTIONS

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Type of publication:	Book / Working Paper
Notes:	49 pages
Classification:	C50 - Econometric Modeling. General ; C53 - Forecasting and Other Model Applications ; D40 - Market Structure and Pricing. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005641166