What drives the sensitivity of limit order books to company announcement arrivals?
type: Item
instance of: scholarly article
title: What drives the sensitivity of limit order books to company announcement arrivals?
zbMATH Open document ID: 1398.91694
author: Milla Siikanen
author: Juho Kanniainen
author: Arto Luoma
published in: Economics Letters
publication date: 2018-09-20T00:00:00Z
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6939466
zbMATH Keywords: limit order book
zbMATH Keywords: liquidity
zbMATH Keywords: company announcement
zbMATH Keywords: high-frequency data
MaRDI profile type: Publication
full work available at URL: j.econlet.2017.07.018
OpenAlex ID: W2564179890
cites work: Reduced form modeling of limit order markets
DOI: 10.1016/J.ECONLET.2017.07.018
description: scientific article; zbMATH DE number 6939466