In this paper, we study the determinants of order aggressiveness and traders' order submission strategy in an open limit order book market. Using order book data from the Australian Stock Exchange, we model traders' aggressiveness in market trading, limit order trading as well as in order...

In this paper, we investigate the buy and sell arrivl process in a limit order book market. Using an intensity framework allows to estimate the simultaneous buy and sell intensity and to derive a continuous-time measure for the buy-sell pressure in the market. Based on limit order book data from...

In this paper, we investigate the buy and sell arrival process in a limit order book market. Using an intensity framework allows to estimate the simultaneous buy and sell intensity and to derive a continuous-time measure for the buy-sell pressure in the market. Based on limit order book data...

In this paper, we investigate the buy and sell arrival process in a limit order book market. Using an intensity framework allows to estimate the simultaneous buy and sell intensity and to derive a continuous-time measure for the buy-sell pressure in the market. Based on limit order book data...

We provide rankings of academic institutions according to the publication record of their faculty members in the specialization of econometrics. The rankings are based on standardized page counts of articles published by faculty members in 14 journals over the period 1980 to 1985. Separate...

Fourteen leading international journals that publish econometrics articles are used to provide data on institutional activity in econometrics over the period 1980–1988. From this data base, institutional rankings are constructed separately for theoretical econometrics and all econometrics...