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Asymmetric effects of the limit order book on price dynamics

Cenesizoglu, Tolga; Dionne, Georges; Zhou, Xiaozhou - In: Journal of empirical finance 65 (2022), pp. 77-98

Persistent link: https://www.econbiz.de/10013286401

Bid- and ask-side liquidity in the NYSE limit order book

Cenesizoglu, Tolga; Grass, Gunnar - In: Journal of financial markets 38 (2018), pp. 14-38

Persistent link: https://www.econbiz.de/10012001137

Bid- and Ask-Side Liquidity in the NYSE Limit Order Book

Cenesizoglu, Tolga - 2019

We disentangle bid- and ask-side liquidity using 11 years of comprehensive NYSE limit order book data and document that this has important implications for understanding the determinants, commonalities and pricing of liquidity. First, the ask- but not bid-side liquidity of financial stocks...

Persistent link: https://www.econbiz.de/10012903274

Reducing transaction costs using intraday forecasts of limit order book slopes

Ahabchane, Chahid; Cenesizoglu, Tolga; Grass, Gunnar; … - 2021

Persistent link: https://www.econbiz.de/10012615644

Reducing transaction costs using intraday forecasts of limit order book slopes

Ahabchane, Chahid; Cenesizoglu, Tolga; Grass, Gunnar; … - In: Journal of forecasting 43 (2024) 8, pp. 2982-3008

Persistent link: https://www.econbiz.de/10015110592