Price impact and the recovery of the limit order book: Why should we care about informed liquidity providers?
Year of publication: |
2015
|
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Authors: | Havran, Dániel ; Váradi, Kata |
Publisher: |
Budapest : Hungarian Academy of Sciences, Institute of Economics |
Subject: | market liquidity | resiliency | informed liquidity providers | immediate price impact function | order-driven market |
Series: | IEHAS Discussion Papers ; MT-DP - 2015/40 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
ISBN: | 978-615-5594-04-5 |
Other identifiers: | 834391783 [GVK] hdl:10419/129855 [Handle] |
Classification: | C32 - Time-Series Models ; C51 - Model Construction and Estimation ; G10 - General Financial Markets. General ; G17 - Financial Forecasting |
Source: |
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Havran, Dániel, (2015)
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Return Dispersion, Stock Market Liquidity and Aggregate Economic Activity
Degiannakis, Stavros, (2022)
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Peralta, Gustavo, (2016)
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Csóka, Péter, (2014)
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