Liquidity Supply and Demand in Limit Order Markets
Year of publication: |
2002-12
|
---|---|
Authors: | Hollifield, Burton ; Miller, Robert A. ; Sandås, Patrik ; Slive, Joshua |
Institutions: | C.E.P.R. Discussion Papers |
Subject: | discrete choice | high frequency data | limit orders | liquidity | market orders |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 3676 |
Classification: | C25 - Discrete Regression and Qualitative Choice Models ; C41 - Duration Analysis ; G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets |
Source: |
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