Limit order books and trade informativeness
Year of publication: |
2011
|
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Authors: | Beltran-Lopez, Hélena ; Grammig, Joachim G. ; Menkveld, Albert J. |
Publisher: |
Frankfurt a. M. : Goethe University Frankfurt, Center for Financial Studies (CFS) |
Subject: | Wertpapierhandel | Marktliquidität | Börsenumsatz | Börsenkurs | Informationseffizienz | Adverse Selection | Risiko | Schätzung | Deutschland | Price Impact of Trades | Trading Intensity | Dynamic Duration Models | Spread Decomposition Models | Adverse Selection Risk |
Series: | CFS Working Paper ; 2011/09 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 654217386 [GVK] hdl:10419/57358 [Handle] RePEc:zbw:cfswop:201109 [RePEc] |
Classification: | G14 - Information and Market Efficiency; Event Studies |
Source: |
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Time and the price impact of a trade: A structural approach
Grammig, Joachim G., (2011)
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