The Informational Content of an Open Limit Order Book

Author:

Cao Charles,Hansch Oliver,Wang Beardsley Xiaoxin

Publisher

Elsevier BV

Reference30 articles.

1. Limit orders, depth and volatility: Evidence from the Stock Exchange of Hong Kong;H.-J Ahn;Journal of Finance,2001

2. Limit versus market orders, Working paper;J ; R Angel;Journal of Financial Markets,1994

3. An empirical analysis of the limit order book and the order flow in the Paris Bourse;B Biais;Journal of Finance,1995

4. Make or Take" decision in an electronic market: Evidence on the evolution of liquidity, Working paper;R Bloomfield;Review of Financial Studies,2002

5. Inventory Information

Cited by 30 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. References;High-Frequency Trading;2015-09-19

2. Using LCS to Exploit Order Book Data in Artificial Markets;Transactions on Computational Collective Intelligence XV;2014

3. Using LCS to Exploit Order Book Data in Artificial Markets;Transactions on Computational Collective Intelligence XV;2014

4. Optimal trading strategy and supply/demand dynamics;Journal of Financial Markets;2013-02

5. Improving Classifier Agents with Order Book Information;Advances on Practical Applications of Agents and Multi-Agent Systems;2013

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