Liquidity Dynamics in an Electronic Open Limit Order Book: an Event Study Approach

Publisher： John Wiley & Sons Inc

E-ISSN： 1468-036x|21|1|52-78

ISSN： 1354-7798

Source： EUROPEAN FINANCIAL MANAGEMENT, Vol.21, Iss.1, 2015-01, pp. : 52-78

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Depth Characteristics for the Electronic Futures Limit Order Book

By  

THE JOURNAL OF FUTURES MARKETS, Vol. 35, Iss. 6, 2015-06 ,pp. : 542-560

John Wiley & Sons Inc

Access to resources Recommend Favorite

The effects of a tick-size reduction on the liquidity in a pure limit order market: evidence from Hong Kong

By Pan Wanbin   Song Frank M.   Tao Libin  

Applied Economics Letters, Vol. 19, Iss. 16, 2012-11 ,pp. : 1639-1642

Routledge Ltd

Access to resources Recommend Favorite

The Case for Open-Market Purchases in a Liquidity Trap

By Auerbach Alan J.   Obstfeld Maurice  

The American Economic Review, Vol. 95, Iss. 1, 2005-03 ,pp. : 110-137

American Economic Association

Access to resources Recommend Favorite

Liquidity models in open economies: Theory and empirical evidence

By Grilli V.   Roubini N.  

European Economic Review, Vol. 40, Iss. 3, 1996-04 ,pp. : 847-859

Elsevier

Access to resources Recommend Favorite

Liquidity Cycles and Make/Take Fees in Electronic Markets

By  

THE JOURNAL OF FINANCE, Vol. 22-1082, Iss. 1, 2013-02 ,pp. : 299-341

John Wiley & Sons Inc

Access to resources Recommend Favorite