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Financial markets performance : theory and empirical evidence

Marquardt, Dirk Steffen - 1998

Persistent link: https://www.econbiz.de/10000671527

Limit order book dynamics and asset liquidity

Pristas, Georg - 2008 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003754583

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

Persistent link: https://www.econbiz.de/10003760003

Arbitrage, the limit order book and market microstructure aspects in financial market models

Osterrieder, Jörg Robert (contributor) - 2007

Persistent link: https://www.econbiz.de/10003645222

Artificial long memory effects in two agent-based asset pricing models

Franke, Reiner - 2008

This note is concerned with two recent agent-based models of speculative dynamics from the literature, one by Gaunersdorfer and Hommes and the other by He and Li. At short as well as long lags, both of them display an autocorrelation structure in absolute and squared returns that comes...