Beltran, Héléna; Grammig, Joachim; Menkveld, Albert J. - Institut für Finanzmarktforschung, Wirtschafts- und … - 2005
Electronic limit order books are ubiquitous in markets today. However, theoretical models for limit order markets fail to explain the real world data well. Sandas (2001) tests the classic Glosten (1994) model for order book equilibrium and rejects it. We reconfirm this result for one of the...
