A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market
Year of publication: |
2004-03
|
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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 |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 04-07 38 pages |
Classification: | G14 - Information and Market Efficiency; Event Studies ; C32 - Time-Series Models ; C41 - Duration Analysis |
Source: |
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A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market
Hall, Anthony D., (2004)
-
A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market
Hall, Anthony D., (2004)
-
Modeling the interdependence of volatility and inter-transaction duration processes
Grammig, Joachim, (1999)
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A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market
Hall, Anthony D., (2004)
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Order Aggressiveness and Order Book Dynamics
Hall, Anthony D., (2004)
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Testing the Conditional Mean Function of Autoregressive Conditional Duration Models
Hautsch, Nikolaus, (2006)
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