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Limit order book (LOB) shape modeling in presence of heterogeneously informed market participants

Drame, Mouhamad - In: Market microstructure and liquidity 5 (2019) 1/4, pp. 1-35

Persistent link: https://www.econbiz.de/10012820075

Price dynamics and market liquidity : an intraday event study on Euronext

Mazza, Paolo - In: The quarterly review of economics and finance : journal … 56 (2015), pp. 139-153

Persistent link: https://www.econbiz.de/10011574367

Limit order books and trade informativeness

Beltran Lopez, Helena; Gramming, Joachim; Menkveld, … - In: The European journal of finance 18 (2012) 9/10, pp. 737-759

Persistent link: https://www.econbiz.de/10009691782

Intraday liquidity patterns in limit order books

Malik, Azeem; Wing Lon Ng - In: Studies in economics and finance 31 (2014) 1, pp. 46-71

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Deep limit order book events dynamics

Bilodeau, Yann - 2020

Persistent link: https://www.econbiz.de/10012384636

Inferring trade directions in fast markets

Jurkatis, Simon Willi - 2020

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Price discovery of a speculative asset : evidence from a Bitcoin exchange

Ghysels, Eric; Nguyen, Giang H. - In: Journal of risk and financial management : JRFM 12 (2019) 4/164, pp. 1-26

We examine price discovery and liquidity provision in the secondary market for bitcoin-an asset with a high level of speculative trading. Based on BTC-e's full limit order book over the 2013-2014 period, we find that order informativeness increases with order aggressiveness within the first 10...

Persistent link: https://www.econbiz.de/10012171450