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An examination of commonality in liquidity : new evidence from the Australian stock exchange

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Pre-trade transparency and the information content of the limit order book

Huu Nhan Duong; Kalev, Petko S.; Sun, Yang - In: Market microstructure and nonlinear dynamics : keeping …, (pp. 25-50). 2014

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Systematic liquidity in the long run

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Investor protection and market liquidity revisited

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Algorithmic and high frequency trading in Asia-Pacific, now and the future

Zhou, Hao; Kalev, Petko S. - In: Pacific-Basin finance journal 53 (2019), pp. 186-207

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Pre-trade Transparency and the Information Content of the Limit Order Book

Duong, Huu Nhan - 2015

This chapter investigates the influence of improved pre-trade transparency on the information content of the limit order book. Data from two natural experiments are examined: when the Sydney Futures Exchange increased the limit order book disclosure from the best bid and ask level to the best...

Persistent link: https://www.econbiz.de/10013037697