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Deep limit order book events dynamics

Bilodeau, Yann - 2020

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

Intraday liquidity patterns in limit order books

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

Persistent link: https://www.econbiz.de/10010258798

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

Commonality in ask-side vs. bid-side liquidity

Sensoy, Ahmet - In: Finance research letters 28 (2019), pp. 198-207

Persistent link: https://www.econbiz.de/10012388306

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

Removing the trade size constraint? : evidence from the Italian market design

Gozluklu, Arie E.; Perotti, Pietro; Rindi, Barbara; … - 2013 - This version: September, 2013

Persistent link: https://www.econbiz.de/10011817718

Optimal execution with liquidity risk in a diffusive order book market

Lee, Hyoeun; Lee, Kiseop - In: International journal of financial engineering 10 (2023) 3, pp. 1-32

Persistent link: https://www.econbiz.de/10014444510

Order exposure and liquidity coordination : does hidden liquidity harm price efficiency?

Cebiroglu, Gökhan; Hautsch, Nikolaus; Horst, Ulrich - 2014

We develop a model of an order-driven exchange competing for order flow with off-exchange trading mechanisms. Liquidity … additional trade demand. We show, in equilibrium, hiding trade intentions can induce mis-coordination between liquidity supply … in prices and order flow after periods of high excess-supply of hidden liquidity. …

Persistent link: https://www.econbiz.de/10010411280

Undisclosed orders and optimal submission strategies in a limit order market

Buti, Sabrina; Rindi, Barbara - In: Journal of financial economics 109 (2013) 3, pp. 797-812

Persistent link: https://www.econbiz.de/10010205326

Optimal order display in limit order markets with liquidity competition

Cebiroglu, Gökhan; Horst, Ulrich - In: Journal of economic dynamics & control 58 (2015), pp. 81-100

Persistent link: https://www.econbiz.de/10011574644

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