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~institution:"Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät"
~subject:"impulse response function"
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impulse response function
cointegration
3
limit order
2
price impact
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DSGE
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Perturbation
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Structural vector error correction model
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bootstrap
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impulse response intervals
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long-run restrictions
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nonlinear impulse response
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optimal order size
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Hautsch, Nikolaus
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Huang, Ruihong
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
10
European Central Bank
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Economics Department, University of California-Davis
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Centre d'Études des Politiques Économiques (EPEE), Université d'Évry Val d'Essonne
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Department of Econometrics and Business Statistics, Monash Business School
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Wirtschaftswissenschaftliche Fakultät, Universität Regensburg
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Departament d'Economia i Història Econòmica, Universitat Autònoma de Barcelona
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
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Southern Agricultural Economics Association - SAEA
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Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data
Hautsch, Nikolaus
;
Huang, Ruihong
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2011
, only very few market orders walk through the book, i.e., directly move the best ask or bid quote. Estimates of
impulse-response
…
Persistent link: https://www.econbiz.de/10009275679
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2
The Market Impact of a Limit Order
Hautsch, Nikolaus
;
Huang, Ruihong
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2009
estimated by means of appropriate
impulse
response
functions. Analyzing order book data of 30 stocks traded at Euronext …
Persistent link: https://www.econbiz.de/10008577794
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