Limit-order book resiliency after effective market orders: spread, depth and intensity-Reference-Cited by-同舟云学术

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Limit-order book resiliency after effective market orders: spread, depth and intensity

Published:2017-07-18 Issue:7 Volume:2017 Page:073404
ISSN:1742-5468
Container-title:Journal of Statistical Mechanics: Theory and Experiment
language:
Short-container-title:J. Stat. Mech.

Author:

Xu Hai-Chuan,Chen Wei,Xiong Xiong,Zhang Wei,Zhou Wei-Xing,Eugene Stanley H

Publisher

IOP Publishing

Subject

Statistics, Probability and Uncertainty,Statistics and Probability,Statistical and Nonlinear Physics

Link

http://stacks.iop.org/1742-5468/2017/i=7/a=073404/pdf

Reference46 articles.

1. Continuous Auctions and Insider Trading

2. Measuring the resiliency of an electronic limit order book

3. Short-term market reaction after extreme price changes of liquid stocks

4. Market reaction to a bid-ask spread change: A power-law relaxation dynamics

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