Köksal, Bülent - Volkswirtschaftliche Fakultät, … - 2012
behavior of spreads, depths, returns and volume. We find that the spreads follow an L-shaped pattern whereas returns, number of … time intervals in a given day. Another result is that traders use spreads and depths simultaneously to implement their … strategies, i.e., wide spreads are accompanied by low depths and vice versa. We also find that spreads are higher on average for …