Do Buyers and Sellers Behave Similarly in a Limit Order Book? A High-Frequency Data Examination of the Finnish Stock Exchange
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Other versions of this item:
- Hedvall, Kaj & Niemeyer, Jonas & Rosenqvist, Gunnar, 1997. "Do buyers and sellers behave similarly in a limit order book? A high-frequency data examination of the Finnish stock exchange," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 279-293, June.
References listed on IDEAS
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- Easley, David, et al, 1996. " Liquidity, Information, and Infrequently Traded Stocks," Journal of Finance, American Finance Association, vol. 51(4), pages 1405-1436, September.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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More about this item
KeywordsMarket microstructure; limit order book; log-linear Poisson regression; quasi symmetry;
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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