Distilling liquidity costs from limit order books
Author:
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
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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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