The relation between intraday limit order book depth and spread
Year of publication: |
2021
|
---|---|
Authors: | Aidov, Alexandre ; Lobanova, Olesya |
Published in: |
International Journal of Financial Studies : open access journal. - Basel : MDPI, ISSN 2227-7072, ZDB-ID 2704235-2. - Vol. 9.2021, 4, Art.-No. 60, p. 1-13
|
Subject: | bid-ask spread | futures market | limit order book | market depth | Geld-Brief-Spanne | Bid-ask spread | Wertpapierhandel | Securities trading | Börsenkurs | Share price |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/ijfs9040060 [DOI] hdl:10419/257805 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
High-Frequency trading and market performance
Baldauf, Markus, (2015)
-
High-frequency trading and market performance
Baldauf, Markus, (2019)
-
Limit order book (LOB) shape modeling in presence of heterogeneously informed market participants
Drame, Mouhamad, (2019)
- More ...
-
Dual–class ownership structure and audit fees
Lobanova, Olesya, (2020)
-
The relation between intraday limit order book depth and spread
Aidov, Alexandre, (2021)
-
Volatility and depth in commodity and FX futures markets
Aidov, Alexandre, (2021)
- More ...