Understanding limit order book depth: conditioning on trade informativeness
Year of publication: |
2004-08-11
|
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Authors: | Beltran, Helena ; Menkveld, Albert J. |
Institutions: | Econometric Society |
Subject: | Order book | liquidity | trade informativeness |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | The text is part of a series Econometric Society Latin American Meetings 2004 Number 142 |
Classification: | G14 - Information and Market Efficiency; Event Studies |
Source: |
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