The price impact of order book events
Rama Cont; Arseniy Kukanov; Sasha Stoikov
| Year of publication: |
2014
|
|---|---|
| Authors: | Cont, Rama ; Kukanov, Arseniy ; Stoikov, Sasha |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 12.2014, 1, p. 47-88
|
| Subject: | high frequency data | liquidity | limit order book | market microstructure | price impact | Marktmikrostruktur | Market microstructure | Wertpapierhandel | Securities trading | Börsenkurs | Share price | Geld-Brief-Spanne | Bid-ask spread | Schätzung | Estimation | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010233613