Intraday liquidity patterns in limit order books
Year of publication: |
2014
|
---|---|
Authors: | Malik, Azeem ; Ng, Wing Lon |
Published in: |
Studies in Economics and Finance. - Emerald Group Publishing. - Vol. 31.2014, February, 1, p. 46-71
|
Publisher: |
Emerald Group Publishing |
Subject: | Algorithmic trading | High-frequency data | Limit order book | Liquidity | Market impact | Trade scheduling |
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