Order aggressiveness and order book dynamics
Year of publication: |
2005
|
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Authors: | Hall, Anthony D. ; Hautsch, Nikolaus |
Published in: |
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria. - Berlin : Springer, ISSN 0377-7332, ZDB-ID 519394-1. - Vol. 30.2005, 4, p. 973-1005
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Subject: | Wertpapierhandel | Securities trading | Geld-Brief-Spanne | Bid-ask spread | Volatilität | Volatility | ARCH-Modell | ARCH model | Schätzung | Estimation | Australien | Australia |
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