The effects of trade size and market depth on immediate price impact in a limit order book market
Year of publication: |
2020
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Authors: | Manh Cuong Pham ; Anderson, Heather Margot ; Huu Nhan Duong ; Lajbcygier, Paul |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 120.2020, p. 1-27
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Subject: | Forecasts | Immediate price impact | Market depth | Order flow | Theorie | Theory | Wertpapierhandel | Securities trading | Börsenkurs | Share price | Marktmikrostruktur | Market microstructure | Schätzung | Estimation |
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