Weather and Time Series Determinants of Liquidity in a Limit Order Market
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Cited by:
- Michael Frömmel & Frederick Van Gysegem, 2012.
"Spread Components in the Hungarian Forint-Euro Market,"
Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(3), pages 52-69, May.
- M. Frömmel & F. Van Gysegem, 2011. "Spread Components in the Hungarian Forint-Euro Market," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 11/709, Ghent University, Faculty of Economics and Business Administration.
- Frederick Van Gysegem & Michael Frömmel, 2011. "Spread Components in the Hungarian Forint-Euro Market," 2011 Meeting Papers 1260, Society for Economic Dynamics.
- Nicola Secomandi & Sunder Kekre, 2014. "Optimal Energy Procurement in Spot and Forward Markets," Manufacturing & Service Operations Management, INFORMS, vol. 16(2), pages 270-282, May.
- Carol Osler & Xuhang Wang, 2012. "The Microstructure of Currency Markets," Working Papers 49, Brandeis University, Department of Economics and International Business School.
- Ban Zheng & Eric Moulines & Frédéric Abergel, 2013. "Price jump prediction in a limit order book," Post-Print hal-00684716, HAL.
- Mynbaev, Kairat, 2020. "Using full limit order book for price jump prediction," MPRA Paper 101684, University Library of Munich, Germany.
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Keywords
Market microstructure; price impact; instrumental variables;All these keywords.
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