What pieces of limit order book information are informative ?
Year of publication: |
2004-06
|
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Authors: | PASCUAL, Roberto ; VEREDAS, David |
Institutions: | Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain |
Subject: | open limit order book | order aggressiveness | durations | pre-trade transparency | order driven markets |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series UNIVERSITE CATHOLIQUE DE LOUVAIN, Center for Operations Research and Econometrics (CORE) Number 2004033 |
Classification: | C41 - Duration Analysis ; C35 - Discrete Regression and Qualitative Choice Models ; G14 - Information and Market Efficiency; Event Studies |
Source: |
-
Order Aggressiveness and Order Book Dynamics
Hall, Anthony D., (2004)
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Order aggressiveness, pre-trade transparency, and long memory in an order-driven market
Yamamoto, Ryuichi, (2011)
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