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Equilibrium in an Electronic Open Limit Order Book

Author

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  • Glosten, L.R.

Abstract

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Suggested Citation

  • Glosten, L.R., 1992. "Equilibrium in an Electronic Open Limit Order Book," Papers 92-39, Columbia - Graduate School of Business.
    • Handle: RePEc:fth:colubu:92-39
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    Cited by:

    1. Mike, Szabolcs & Farmer, J. Doyne, 2008. "An empirical behavioral model of liquidity and volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 200-234, January.
    2. Szabolcs Mike & J. Doyne Farmer, 2005. "An empirical behavioral model of price formation," Papers physics/0509194, arXiv.org, revised Oct 2005.
    3. Peter C. Reiss & Ingrid M. Werner, 1994. "Transaction Costs in Dealer Markets: Evidence From The London Stock Exchange," NBER Working Papers 4727, National Bureau of Economic Research, Inc.

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