Trading activity and liquidity supply in a pure limit order book market: An empirical analysis using a multivariate count data model
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References listed on IDEAS
- BAUWENS, Luc & HAUTSCH, Nikolaus, 2003. "Dynamic latent factor models for intensity processes," CORE Discussion Papers 2003103, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Héléna Beltran-Lopez & Pierre Giot & Joachim Grammig, 2009.
"Commonalities in the order book,"
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Springer;Swiss Society for Financial Market Research, vol. 23(3), pages 209-242, September.
- BELTRAN, Helena & GIOT, Pierre & GRAMMIG, Joachim, 2005. "Commonalities in the order book," CORE Discussion Papers 2005011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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More about this item
KeywordsMarket microstructure; Liquidity; Trading activity; Multivariate count process;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G1 - Financial Economics - - General Financial Markets
- C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
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