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Excess demand and equilibration in multi-security financial markets: the empirical evidence

  • Asparouhova, Elena
  • Bossaerts, Peter
  • Plott, Charles

No abstract is available for this item.

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File URL: http://www.sciencedirect.com/science/article/B6VHN-4684VJP-1/2/d6a08657bac4f7b7d12271ca54055bb9
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Article provided by Elsevier in its journal Journal of Financial Markets.

Volume (Year): 6 (2003)
Issue (Month): 1 (January)
Pages: 1-21

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Handle: RePEc:eee:finmar:v:6:y:2003:i:1:p:1-21
Contact details of provider: Web page: http://www.elsevier.com/locate/finmar

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  1. Peter Bossaerts & Charles Plott, 2004. "Basic Principles of Asset Pricing Theory: Evidence from Large-Scale Experimental Financial Markets," Review of Finance, Springer, vol. 8(2), pages 135-169.
  2. Sandas, Patrik, 2001. "Adverse Selection and Competitive Market Making: Empirical Evidence from a Limit Order Market," Review of Financial Studies, Society for Financial Studies, vol. 14(3), pages 705-34.
  3. Glosten, Lawrence R. & Milgrom, Paul R., 1985. "Bid, ask and transaction prices in a specialist market with heterogeneously informed traders," Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March.
  4. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
  5. Seppi, Duane J, 1997. "Liquidity Provision with Limit Orders and a Strategic Specialist," Review of Financial Studies, Society for Financial Studies, vol. 10(1), pages 103-50.
  6. Glosten, Lawrence R, 1994. " Is the Electronic Open Limit Order Book Inevitable?," Journal of Finance, American Finance Association, vol. 49(4), pages 1127-61, September.
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