A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market
Year of publication: |
2004-09
|
---|---|
Authors: | Hall, Anthony D. ; Hautsch, Nikolaus |
Institutions: | Økonomisk Institut, Københavns Universitet |
Subject: | buy and sell arrival process | order book information | market depth | bivariate autoregressive intensity model | buy-sell excess intensity |
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