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The information content of a limit order book : the case of an FX market
Kozhan, Roman; Salmon, Mark H. - In: Journal of financial markets 15 (2012) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10009356615
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High frequency market microstructure
O'Hara, Maureen - In: Journal of financial economics 116 (2015) 2, pp. 267-270
Persistent link: https://www.econbiz.de/10011348519
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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
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An empirical analysis of the Shanghai and Shenzhen limit order books
Chung, Huimin; Gao, Cheng; Lu, Jie; Mizrach, Bruce Marshall - In: Economic modelling 34 (2013), pp. 37-41
Persistent link: https://www.econbiz.de/10010360623
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Price jump prediction in a limit order book
Zheng, Ban; Moulines, Eric; Abergel, Frédéric - In: Journal of mathematical finance 3 (2013) 2, pp. 242-255
Persistent link: https://www.econbiz.de/10010239589
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Informativeness and influence of limit order books on order submissions in electronic continuous auction markets
Chang, Matthew C.; Wu, Rebecca Chung-fern - In: Emerging markets finance & trade : a journal of the … 49 (2013), pp. 70-97
Persistent link: https://www.econbiz.de/10010204875
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The information content of the thinner order book following tick size reduction : evidence from the Taiwan Stock Exchange
Chien, Cheng-yi; Liao, Tzu-hsiang; Lee, Hsiu-chuan - In: Managerial finance 40 (2014) 3, pp. 218-233
Persistent link: https://www.econbiz.de/10010256740
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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
Persistent link: https://www.econbiz.de/10010258798
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Limit order book transparency and order aggressiveness at the closing call : lessons from the TWSE 2012 new information disclosure mechanism
Tseng, Yi-Heng; Chen, Shu-Heng - In: Pacific-Basin finance journal 35 (2015) 1, pp. 241-272
Persistent link: https://www.econbiz.de/10011538265
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Optimal execution and price manipulations in time-varying limit order books
Alfonsi, Aurélien; Infante, Arturo - In: Applied mathematical finance 21 (2014) 3/4, pp. 201-237
Persistent link: https://www.econbiz.de/10010499717