Does the open limit order book matter in explaining long run volatility ?
Year of publication: |
2006-12
|
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Authors: | PASCUAL, Roberto ; VEREDAS, David |
Institutions: | Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain |
Subject: | limit order book | volatility | electronic order-driven markets | state-sapce models | price formation | market microstructure |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series UNIVERSITE CATHOLIQUE DE LOUVAIN, Center for Operations Research and Econometrics (CORE) Number 2006110 |
Classification: | G1 - General Financial Markets |
Source: |
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