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Order aggressiveness in limit order book markets Author info | Abstract | Publisher info | Download info | Related research | Statistics Ranaldo, Angelo
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Article provided by Elsevier in its journal Journal of Financial Markets .
Volume (Year): 7 (2004)
Issue (Month): 1 (January)
Pages: 53-74
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Handle: RePEc:eee:finmar:v:7:y:2004:i:1:p:53-74Contact details of provider: Web page: http://www.elsevier.com/locate/finmar
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Michael Melvin & Lukas Menkhoff & Maik Schmeling, 2008.
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Wing Lon NG, 2004.
"Duration and Order Type Clusters ,"
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Helena Beltran & Alain Durré & Pierre Giot, 2004.
"How does liquidity react to stress periods in a limit order market? ,"
Research series
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Helena, BELTRAN & Alain, DURRE & Pierre, GIOT, 2004.
"Volatility regimes and the provisions of liquidity in order book markets ,"
Université catholique de Louvain, Département des Sciences Economiques Working Paper
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Anthony D. Hall & Nikolaus Hautsch, 2004.
"Order Aggressiveness and Order Book Dynamics ,"
FRU Working Papers
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Other versions: David Abad & José Yagüe & Sonia Sanabria, 2005.
"Liquidity And Information Around Annual Earnings Announcements: An Intraday Analysis Of The Spanish Stock Market ,"
Working Papers. Serie EC
2005-16, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
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Anthony D. Hall & Nikolaus Hautsch, 2004.
"A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market ,"
FRU Working Papers
2004/03, University of Copenhagen. Department of Economics. Finance Research Unit.
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Other versions: Luana Gava, 2005.
"The Speed Of Limit Order Execution In The Spanish Stock Exchange ,"
Business Economics Working Papers
wb057718, Universidad Carlos III, Departamento de Economía de la Empresa.
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Stefan Frey & Joachim Grammig, 2006.
"Liquidity supply and adverse selection in a pure limit order book market ,"
Empirical Economics ,
Springer, vol. 30(4), pages 1007-1033, January.
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Anna Obizhaeva & Jiang Wang, 2005.
"Optimal Trading Strategy and Supply/Demand Dynamics ,"
NBER Working Papers
11444, National Bureau of Economic Research, Inc.
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Bidisha Chakrabarty & Zhaohui Han & Konstantin Tyurin & Xiaoyong Zheng, 2006.
"A Competing Risk Analysis of Executions and Cancellations in a Limit Order Market ,"
Caepr Working Papers
2006-015, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
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Claudio Loderer & Marc-André Mittermayer, 2006.
"America and the Swiss Stock Exchange: An Intraday Analysis ,"
Swiss Journal of Economics and Statistics (SJES) ,
Swiss Society of Economics and Statistics (SSES), vol. 142(I), pages 79-114, March.
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Adam Blazejewski & Richard Coggins, 2004.
"A piecewise linear model for trade sign inference ,"
Finance
0412012, EconWPA.
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Adam Blazejewski & Richard Coggins, 2004.
"A local non-parametric model for trade sign inference ,"
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0408009, EconWPA.
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Wing Lon NG, 2004.
"Duration and Order Type Clusters ,"
Econometric Society 2004 Australasian Meetings
272, Econometric Society.
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Paolo Pasquariello & Clara Vega, 2006.
"Informed and strategic order flow in the bond markets ,"
International Finance Discussion Papers
874, Board of Governors of the Federal Reserve System (U.S.).
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Helena Beltran & Albert J. Menkveld, 2004.
"Understanding limit order book depth: conditioning on trade informativeness ,"
Econometric Society 2004 Latin American Meetings
142, Econometric Society.
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