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  • Search: subject:"log-linear Poisson regression"
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Year of publication
Subject
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Market microstructure 1 limit order book 1 log-linear Poisson regression 1 quasi symmetry 1
Type of publication
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Book / Working Paper 1
Language
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Undetermined 1
Author
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Hedvall, Kaj 1 Niemeyer, Jonas 1 Rosenqvist, Gunnar 1
Institution
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Economics Institute for Research (SIR), Handelshögskolan i Stockholm 1
Published in...
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SSE/EFI Working Paper Series in Economics and Finance 1
Source
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RePEc 1
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Do Buyers and Sellers Behave Similarly in a Limit Order Book? A High-Frequency Data Examination of the Finnish Stock Exchange
Hedvall, Kaj; Niemeyer, Jonas; Rosenqvist, Gunnar - Economics Institute for Research (SIR), … - 1997
within a log.-linear Poisson regression framework. Although the orderflow was found to be quite symmetric in general, clear …
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