Multi-level order-flow imbalance in a limit order book
Year of publication: |
2018
|
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Authors: | Xu, Ke ; Gould, Martin ; Howison, Sam |
Published in: |
Market microstructure and liquidity. - New Jersey : World Scientific, ISSN 2382-6266, ZDB-ID 2880405-3. - Vol. 4.2018, 3/4, p. 1-41
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Subject: | Multi-level order-flow imbalance | limit order book | price formation | market microstructure | Marktmikrostruktur | Market microstructure | Wertpapierhandel | Securities trading | Börsenkurs | Share price | Geld-Brief-Spanne | Bid-ask spread |
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