Order flow composition and trading costs in a dynamic limit order market1
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- Foucault, Thierry, 1998. "Order Flow Composition and Trading Costs in Dynamic Limit Order Markets," CEPR Discussion Papers 1817, C.E.P.R. Discussion Papers.
References listed on IDEAS
- Domowitz, Ian, 1993. "A taxonomy of automated trade execution systems," Journal of International Money and Finance, Elsevier, vol. 12(6), pages 607-631, December.
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More about this item
- C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
- D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions
- G19 - Financial Economics - - General Financial Markets - - - Other
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