Order flow and the bid-ask spread: an empirical probability model of screen-based trading

DOI10.1016/S0165-1889(97)00036-5zbMath0901.90043OpenAlexW1971796194MaRDI QIDQ1391446

Ian Domowitz, Tim Bollerslev, Jianxin Wang

Publication date: 22 July 1998

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(97)00036-5

zbMATH Keywords

limit order bookorder flowbid-ask spreadsforeign exchange quotationsscreen-based tradingstatistical model evaluation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (6)

Zero-intelligence realized variance estimation. ⋮ The next tick on Nasdaq ⋮ Non-constant rates and over-diffusive prices in a simple model of limit order markets ⋮ A steady-state model of the continuous double auction ⋮ Statistical theory of the continuous double auction ⋮ THE OPINION GAME: STOCK PRICE EVOLUTION FROM MICROSCOPIC MARKET MODELING

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