The next tick on Nasdaq

DOI10.1080/14697680701297457zbMath1140.91404OpenAlexW2086888453MaRDI QIDQ3518386

Bruce Mizrach

Publication date: 7 August 2008

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680701297457

zbMATH Keywords

financial time seriesmarket microstructurestructure of financial marketsderivatives securities

Mathematics Subject Classification ID

Economic time series analysis (91B84) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items

Limit order books

Cites Work

• Order flow and the bid-ask spread: an empirical probability model of screen-based trading
• More statistical properties of order books and price impact
• Order book approach to price impact
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

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