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Liquidity and impact in fair markets

Jaisson, Thibault - In: Market microstructure and liquidity 1 (2015) 2, pp. 1-20

Persistent link: https://www.econbiz.de/10011588225

Optimal liquidation and adverse selection in dark pools

Kratz, Peter; Schöneborn, Torsten - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 177-210

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Deep limit order book events dynamics

Bilodeau, Yann - 2020

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Limit order trading and information asymmetry : empirical evidence about the evolution of liquidity on an order driven market

Allen, David E. (contributor); Yang, Joey W. (contributor) - 2008

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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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Liquidity, Durations and Bid-Ask Spread in Limit Order Markets

Chakravarty, Ranjan R. - 2019

The complex pattern of the dependence that exists between liquidity, durations and spread in a limit order market is … 100 stock we confirm that limit orders, placed in five levels on both bid and ask side, provide liquidity and are an … important conduit of information flow along with the spread. The bid side and ask side liquidity can play different roles in …

Persistent link: https://www.econbiz.de/10012897031