Trading activity and liquidity supply in a pure limit order book market
Year of publication: |
2004-09
|
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Authors: | GRAMMIG, Joachim ; HEINEN, Andréas ; RENGIFO, Erick |
Institutions: | Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain |
Subject: | market microstructure | liquidity | trading activity | multivariate count process |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series UNIVERSITE CATHOLIQUE DE LOUVAIN, Center for Operations Research and Econometrics (CORE) Number 2004058 |
Classification: | C32 - Time-Series Models ; C35 - Discrete Regression and Qualitative Choice Models ; G10 - General Financial Markets. General |
Source: |
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Grammig, Joachin, (2004)
-
Multivariate modelling of time series count data: an autoregressive conditional Poisson model
HEINEN, Andreas, (2003)
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Rengifo, Erick, (2004)
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Grammig, Joachim, (2004)
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