What drives the sensitivity of limit order books to company announcement arrivals?

DOI10.1016/j.econlet.2017.07.018zbMath1398.91694OpenAlexW2564179890MaRDI QIDQ1782389

Milla Siikanen, Arto Luoma, Juho Kanniainen

Publication date: 20 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2017.07.018

zbMATH Keywords

high-frequency dataliquiditylimit order bookcompany announcement

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (1)

Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data

Cites Work

• Reduced form modeling of limit order markets

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