Multistate Asymmetric ACD Model: An Application to Order Dynamics in the EUR/PLN Spot Market-Reference-Cited by-同舟云学术

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Multistate Asymmetric ACD Model: An Application to Order Dynamics in the EUR/PLN Spot Market

Published:2011 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Bien-Barkowska Katarzyna

Publisher

Elsevier BV

Reference40 articles.

1. A Theory of Intra-Day Patterns: Volume and Price Variability;A & P Admati;Review of Financial Studies,1988

2. Empirical Evidence on the Evolution of Liquidity: Choice of Market versus Limit Orders by Informed and Uninformed Traders;A Anand;Journal of Financial Markets,2005

3. Traders' Choice between Limit and Market Orders: Evidence from NYSE Stocks;K.-H Bae;Journal of Financial Markets,2003

4. The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks

5. Asymmetric ACD Models: Introducing Price Information in ACD Models;Empirical Economics,2003

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