The market impact of a limit order
Year of publication: |
2009
|
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Authors: | Hautsch, Nikolaus ; Huang, Ruihong |
Publisher: |
Frankfurt a. M. : Goethe University Frankfurt, Center for Financial Studies (CFS) |
Subject: | Wertpapierhandel | Auftrag | Börsenkurs | Bid-Ask Spread | Reaktionsfunktion | Kointegration | VAR-Modell | Schätzung | Niederlande | Price Impact | Limit Order | Impulse Response Function | Cointegration |
Series: | CFS Working Paper ; 2009/23 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 615090982 [GVK] hdl:10419/43229 [Handle] RePEc:zbw:cfswop:200923 [RePEc] |
Classification: | C32 - Time-Series Models ; G14 - Information and Market Efficiency; Event Studies ; G17 - Financial Forecasting |
Source: |
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The market impact of a limit order
Hautsch, Nikolaus, (2009)
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The market impact of a limit order
Hautsch, Nikolaus, (2009)
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The market impact of a limit order
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The market impact of a limit order
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Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data
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