Order aggressiveness and order book dynamics
Year of publication: |
2006
|
---|---|
Authors: | Hall, Anthony ; Hautsch, Nikolaus |
Published in: |
Empirical Economics. - Department of Economics and Finance Research and Teaching. - Vol. 30.2006, 4, p. 973-1005
|
Publisher: |
Department of Economics and Finance Research and Teaching |
Subject: | Open limit order book | Aggressive market orders | Aggressive limit orders and cancellations | Multivariate intensity |
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