Distilling liquidity costs from limit order books

Author:

Amaya Diego,Filbien Jean-Yves,Okou Cédric,Roch Alexandre F.

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference29 articles.

1. Waiting costs and limit order book liquidity: evidence from the ex-dividend deadline in australia;Ainsworth;J. Financ. Mark.,2014

2. Dealership market: market-making with inventory;Amihud;J. Financ. Econ.,1980

3. Hidden liquidity: an analysis of order exposure strategies in electronic stock markets;Bessembinder;J. Financ. Econ.,2009

4. Periodic market closure and trading volume: a model of intraday bids and asks;Brock;J. Econ. Dyn. Control,1992

5. Price Discovery Without Trading: Evidence from Limit Orders;Brogaard,2015

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