Asymmetric effects of the limit order book on price dynamics
Tolga Cenesizoglu, Georges Dionne, Xiaozhou Zhou
| Year of publication: |
2022
|
|---|---|
| Authors: | Cenesizoglu, Tolga ; Dionne, Georges ; Zhou, Xiaozhou |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 65.2022, p. 77-98
|
| Subject: | Limit order book slope | Hasbrouck model | High-frequency trading | Asymmetric price impact | Patient traders | Wertpapierhandel | Securities trading | Elektronisches Handelssystem | Electronic trading | Börsenkurs | Share price | Theorie | Theory | Schätzung | Estimation | Marktmikrostruktur | Market microstructure | Börsenhandel | Stock exchange trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2021.11.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013286401