Showing 1 - 2 of 2
Persistent link: https://www.econbiz.de/10014229238
This paper studies inter-trade durations in the NASDAQ limit order market and finds that inter-trade durations in ultra-high frequency have two modes. One mode is to the order of approximately 10^{-4} seconds, and the other is to the order of 10^0 seconds. This phenomenon and other empirical...
Persistent link: https://www.econbiz.de/10012858468