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Order flow and the bid-ask spread: An empirical probability model of screen-based trading
Bollerslev, Tim; Domowitz, Ian; Wang, Jianxin - In: Journal of Economic Dynamics and Control 21 (1997) 8-9, pp. 1471-1491
Persistent link: https://www.econbiz.de/10005160985
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Auctions as algorithms : Computerized trade execution and price discovery
Domowitz, Ian; Wang, Jianxin - In: Journal of Economic Dynamics and Control 18 (1994) 1, pp. 29-60
Persistent link: https://www.econbiz.de/10005161022