Order book characteristics and the volume-volatility relation: Empirical evidence from a limit order market
| Year of publication: |
2006
|
|---|---|
| Authors: | Naes, Randi ; Skjeltorp, Johannes A. |
| Published in: |
Journal of Financial Markets. - Elsevier, ISSN 1386-4181. - Vol. 9.2006, 4, p. 408-432
|
| Publisher: |
Elsevier |