A Competing Risk Analysis of Executions and Cancellations in a Limit Order Market
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Efstathios Panayi & Gareth Peters, 2014. "Survival Models for the Duration of Bid-Ask Spread Deviations," Papers 1406.5487, arXiv.org.
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- repec:kap:rqfnac:v:49:y:2017:i:4:d:10.1007_s11156-017-0620-6 is not listed on IDEAS
More about this item
KeywordsMarket microstructure; limit order; competing risks; hazard rate; frailty;
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-10-07 (All new papers)
- NEP-FMK-2006-10-07 (Financial Markets)
- NEP-MST-2006-10-07 (Market Microstructure)
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