Understanding limit order book depth: conditioning on trade informativeness
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- Cumhur Ekinci, 2005. "Limit Order Book Reconstruction And Beyond: An Application To Istanbul Stock Exchange," Finance 0510025, EconWPA, revised 24 Oct 2005.
More about this item
KeywordsOrder book; liquidity; trade informativeness;
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-10-30 (All new papers)
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