Limit order book (LOB) shape modeling in presence of heterogeneously informed market participants
Mouhamad Drame
Year of publication: |
2019
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Authors: | Drame, Mouhamad |
Published in: |
Market microstructure and liquidity. - New Jersey : World Scientific, ISSN 2382-6266, ZDB-ID 2880405-3. - Vol. 5.2019, 1/4, p. 1-35
|
Subject: | Price formation | high-frequency trading | limit order book | asymmetry ofinformation | adverse selection | bid-ask spread | cross-impact | speed-bump | Geld-Brief-Spanne | Bid-ask spread | Wertpapierhandel | Securities trading | Adverse Selektion | Adverse selection | Theorie | Theory | Elektronisches Handelssystem | Electronic trading | Marktmikrostruktur | Market microstructure | Asymmetrische Information | Asymmetric information | Börsenkurs | Share price |
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