The effect of limit order flows at the best quotes on price changes
ChongSeok Hyun, Jeongsook Park and Kiseop Lee
| Year of publication: |
2015/2016
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|---|---|
| Authors: | Hyun, ChongSeok ; Park, Jeongsook ; Lee, Kiseop |
| Published in: |
Risk and decision analysis. - Amsterdam : IOS Press, ISSN 1569-7371, ZDB-ID 2512630-1. - Vol. 6.2015/2016, 1, p. 23-36
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| Subject: | Granger causality | KRDS (Korea Research Data Services) | order flow imbalance | limit order book event | price impact | Börsenkurs | Share price | Wertpapierhandel | Securities trading | Marktmikrostruktur | Market microstructure | Kausalanalyse | Causality analysis | Südkorea | South Korea | Schätzung | Estimation | Geld-Brief-Spanne | Bid-ask spread |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3233/RDA-150113 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011573717