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Trading strategies during circuit breakers and extreme market movements

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Author Info
Goldstein, Michael A.
Kavajecz, Kenneth A.

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Abstract

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File URL: http://www.sciencedirect.com/science/article/B6VHN-4BHY5MJ-1/2/72e1551c284bf232f02a0f884bb09828
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Article provided by Elsevier in its journal Journal of Financial Markets.

Volume (Year): 7 (2004)
Issue (Month): 3 (June)
Pages: 301-333
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Handle: RePEc:eee:finmar:v:7:y:2004:i:3:p:301-333

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Web page: http://www.elsevier.com/locate/finmar

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  1. 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 2005015, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
  2. Yan Du & Qianqiu Liu & S. Ghon Rhee, 2006. "An Anatomy of the Magnet Effect: Evidence from the Korea Stock Exchange High-Frequency Data," CEI Working Paper Series 2005-17, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
  3. Alessandro Beber & Cecilia Caglio, 2005. "Order Submission Strategies and Information: Empirical Evidence from the NYSE," FAME Research Paper Series rp146, International Center for Financial Asset Management and Engineering. [Downloadable!]
  4. Craig H. Furfine & Eli M. Remolona, 2005. "Price discovery in a market under stress: the U.S. Treasury market in fall 1998," Working Paper Series WP-05-06, Federal Reserve Bank of Chicago. [Downloadable!]
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