The impact of aggressive orders in an order-driven market: a simulation approach
Author:
Publisher
Informa UK Limited
Subject
Economics, Econometrics and Finance (miscellaneous)
Link
http://www.tandfonline.com/doi/pdf/10.1080/1351847X.2011.601631
Reference21 articles.
1. Volatility regimes and order book liquidity: Evidence from the Belgian segment of Euronext
2. An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse
3. An inflated multivariate integer count hurdle model: an application to bid and ask quote dynamics
4. Electronic Limit Order Books and Market Resiliency: Theory, Evidence, and Practice
5. Aggressive Orders and the Resiliency of a Limit Order Market*
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2. Who knows more and makes more? A perspective of order submission decisions across investor types;The Quarterly Review of Economics and Finance;2021-02
3. Order aggressiveness and flash crashes;International Journal of Finance & Economics;2020-08-04
4. Price limit changes, order decisions, and stock price movements: an empirical analysis of the Taiwan Stock Exchange;Review of Quantitative Finance and Accounting;2019-09-05
5. Limit-order book resiliency after effective market orders: spread, depth and intensity;Journal of Statistical Mechanics: Theory and Experiment;2017-07-18
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