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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 … volatility environment, aggressive orders seem to be more attractive to informed agents, but market liquidity migrates outward in …

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Multi-level order-flow imbalance in a limit order book

Xu, Ke; Gould, Martin; Howison, Sam - In: Market microstructure and liquidity 4 (2018) 3/4, pp. 1-41

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Metaorder limit prices in evaluating expected market impact and assessing execution service quality

Bazylevyč, Viktor D.; Ihnatiuk, Vitalii - In: Investment management and financial innovations 16 (2019) 2, pp. 355-369

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Toward a fully continuous exchange

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Local market makers, liquidity and market quality

Kedia, Simi; Zhou, Xing - In: Journal of financial markets 14 (2011) 4, pp. 540-567

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Commonality in liquidity : an empirical examination of emerging order-driven equity and derivatives market

Syamala, Sudhakar Reddy; Reddy, V. Nagi; Goyal, Abhinav - In: Journal of international financial markets, … 33 (2014), pp. 317-334

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Liquidity provision in the limit order book : adverse selection, iceberg orders and the opening auction

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Who supplies liquidity, how and when?

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Technology upgrades in emerging equity markets : effects on liquidity and trading activity

Yılmaz, Mustafa Kemal; Erdem, Orhan; Eraslan, Veysel; … - In: Finance research letters 14 (2015), pp. 87-92

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