Liquidity supply and adverse selection in a pure limit order book market
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Bibliographic InfoArticle provided by Springer in its journal Empirical Economics.
Volume (Year): 30 (2006)
Issue (Month): 4 (January)
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Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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- Biais, Bruno & Hillion, Pierre & Spatt, Chester, 1995. " An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse," Journal of Finance, American Finance Association, vol. 50(5), pages 1655-89, December.
- Jong, F.C.J.M. de & Nijman, T.E. & Roell, A.A., 1994.
"Price effects of trading and components of the bid-ask spread on the Paris Bource,"
1994-54, Tilburg University, Center for Economic Research.
- de Jong, Frank & Nijman, Theo & Roell, Ailsa, 1996. "Price effects of trading and components of the bid-ask spread on the Paris Bourse," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 193-213, June.
- Jong, F.C.J.M. de & Nijman, T.E. & Röell, A.A., 1997. "Price effects of trading and components of the bid-ask spread on the Paris Bourse," Open Access publications from Tilburg University urn:nbn:nl:ui:12-153836, Tilburg University.
- Jong, F.C.J.M. de & Nijman, T.E. & Röell, A.A., 1996. "Price effects of trading and components of the bid-ask spread on the Paris Bourse," Open Access publications from Tilburg University urn:nbn:nl:ui:12-72127, Tilburg University.
- Bloomfield, Robert & O'Hara, Maureen & Saar, Gideon, 2005. "The "make or take" decision in an electronic market: Evidence on the evolution of liquidity," Journal of Financial Economics, Elsevier, vol. 75(1), pages 165-199, January.
- Parlour, Christine A, 1998. "Price Dynamics in Limit Order Markets," Review of Financial Studies, Society for Financial Studies, vol. 11(4), pages 789-816.
- Ranaldo, Angelo, 2004. "Order aggressiveness in limit order book markets," Journal of Financial Markets, Elsevier, vol. 7(1), pages 53-74, January.
- Alastair Hall & Fernanda Peixe, 2003.
"A Consistent Method for the Selection of Relevant Instruments,"
Taylor and Francis Journals, vol. 22(3), pages 269-287.
- Alastair Hall & Fernanda P. M. Peixe, 2000. "A Consistent Method for the Selection of Relevant Instruments," Econometric Society World Congress 2000 Contributed Papers 0790, Econometric Society.
- Cumhur Ekinci, 2005. "Limit Order Book Reconstruction And Beyond: An Application To Istanbul Stock Exchange," Finance 0510025, EconWPA, revised 24 Oct 2005.
- Miguel A. Acedo & Fco. Javier Ruiz & Rafael Santamaría, 2008. "Influence of Secondary Offerings on the Liquidity and Trading Activity of Stocks Outstanding," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 58(01-02), pages 21-37, January.
- Frey, Stefan & Sandås, Patrik, 2009. "The impact of iceberg orders in limit order books," CFR Working Papers 09-06, University of Cologne, Centre for Financial Research (CFR).
- Alexandra Hachmeister & Dirk Schiereck, 2010. "Dancing in the dark: post-trade anonymity, liquidity and informed trading," Review of Quantitative Finance and Accounting, Springer, vol. 34(2), pages 145-177, February.
- Sperl, Miriam, 2008. "Quantifying the efficiency of the Xetra LOB market: Detailed recipe," CFS Working Paper Series 2008/21, Center for Financial Studies (CFS).
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