Zikes, Filip; Bubák, Vít - In: Czech Journal of Economics and Finance (Finance a uver) 56 (2006) 5-6, pp. 223-245
Using trade and quote data from the Prague Stock Exchange, this study investigates the empirical behavior of price durations defined as the time needed for a quote midpoint to move by a given amount. Focusing on the three most liquid securities traded on the exchange – Cesky Telecom, CEZ, and...