Limit order books and trade informativeness
Author:
Publisher
Informa UK Limited
Subject
Economics, Econometrics and Finance (miscellaneous)
Link
http://www.tandfonline.com/doi/pdf/10.1080/1351847X.2011.601651
Reference32 articles.
1. Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong
2. Modeling and Forecasting Realized Volatility
3. An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse
4. Floors, dealer markets and limit order markets
5. Competing Mechanisms in a Common Value Environment
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