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A Specialist's Quoted Depth and the Limit Order Book

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  • Kenneth A. Kavajecz

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  • Kenneth A. Kavajecz, "undated". "A Specialist's Quoted Depth and the Limit Order Book," Rodney L. White Center for Financial Research Working Papers 4-97, Wharton School Rodney L. White Center for Financial Research.
  • Handle: RePEc:fth:pennfi:4-97
    as

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    References listed on IDEAS

    as
    1. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
    2. repec:cdl:ucsbec:3-98 is not listed on IDEAS
    3. repec:fth:calaec:4-98 is not listed on IDEAS
    4. Philippe Weil, 1990. "Nonexpected Utility in Macroeconomics," The Quarterly Journal of Economics, Oxford University Press, vol. 105(1), pages 29-42.
    5. repec:cdl:ucsbec:4-98 is not listed on IDEAS
    6. Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-273, April.
    7. Robert J. Barro & Paul Romer, 1993. "Economic Growth," NBER Books, National Bureau of Economic Research, Inc, number barr93-1.
      • Robert J. Barro & Paul M. Romer, 1991. "Economic Growth," NBER Books, National Bureau of Economic Research, Inc, number barr91-1, January.
    8. repec:cdl:ucsbec:03-98 is not listed on IDEAS
    9. repec:cdl:ucsbec:04-98 is not listed on IDEAS
    10. Henning Bohn, 1999. "Should the Social Security Trust Fund Hold Equities," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 2(3), pages 666-697, July.
    11. Epstein, Larry G & Zin, Stanley E, 1989. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework," Econometrica, Econometric Society, vol. 57(4), pages 937-969, July.
    12. Bohn, Henning, 1998. "Risk Sharing in a Stochastic Overlapping Generations Economy," University of California at Santa Barbara, Economics Working Paper Series qt9r2809f0, Department of Economics, UC Santa Barbara.
    13. Jermann, Urban J., 1999. "Social security and institutions for intergenerational, intragenerational, and international risk-sharing : A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 50(1), pages 205-212, June.
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