Order aggressiveness, pre-trade transparency, and long memory in an order-driven market
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Publication:658641
DOI10.1016/j.jedc.2011.06.009zbMath1282.91145OpenAlexW2089574685MaRDI QIDQ658641
Publication date: 13 January 2012
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2011.06.009
Related Items (5)
Why is equity order flow so persistent? ⋮ The impact of reduced pre-trade transparency regimes on market quality ⋮ The market impact of a limit order ⋮ Self-Organization, Resilience and Robustness of Complex Systems Through an Application to Financial Market from an Agent-Based Approach ⋮ A Concise Formula to Compute General Orthogonal Contrast Coefficients
Cites Work
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- A simulation analysis of the microstructure of double auction markets*
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