Intraday liquidity patterns in limit order books

ISSN： 1086-7376

Source： Studies in Economics and Finance, Vol.31, Iss.1, 2014-02, pp. : 46-71

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

Related content

Limit order books and trade informativeness

By Beltran-Lopez Hélena Grammig Joachim Menkveld Albert J.

The European Journal of Finance, Vol. 18, Iss. 9, 2012-10 ,pp. : 737-759

Routledge Ltd

Access to resources Recommend Favorite

Intraday liquidity management and reporting: How to meet the challenges

By de Meijer Carlo R. W. Limburg Ludy

Journal of Risk Management in Financial Institutions, Vol. 7, Iss. 4, 2014-01 ,pp. : 395-408

Henry Stewart Publications

Access to resources Recommend Favorite

Optimal execution strategies in limit order books with general shape functions

By Alfonsi Aurelien Fruth Antje Schied Alexander

Quantitative Finance, Vol. 10, Iss. 2, 2010-02 ,pp. : 143-157

Routledge Ltd

Access to resources Recommend Favorite

Liquidity determination in an order-driven market

By Daníelsson Jón Payne Richard

The European Journal of Finance, Vol. 18, Iss. 9, 2012-10 ,pp. : 799-821

Routledge Ltd

Access to resources Recommend Favorite

Reduced form modeling of limit order markets

By Malo Pekka Pennanen Teemu

Quantitative Finance, Vol. 12, Iss. 7, 2012-07 ,pp. : 1025-1036

Routledge Ltd

Access to resources Recommend Favorite