Asymmetric effects of the limit order book on price dynamics-Reference-Cited by-同舟云学术

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Asymmetric effects of the limit order book on price dynamics

Published:2022-01 Issue: Volume:65 Page:77-98
ISSN:0927-5398
Container-title:Journal of Empirical Finance
language:en
Short-container-title:Journal of Empirical Finance

Author:

Cenesizoglu Tolga,Dionne Georges^ORCID,Zhou Xiaozhou^ORCID

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference25 articles.

1. Commonalities in the order book;Beltran-Lopez;Financial Mark. Portfolio Manag.,2009

2. Limit order markets under asymmetric information;Bhattacharya,2016

3. An empirical analysis of the limit order book and the order flow in the Paris bourse;Biais;J. Finance,1995

4. Xetra parser;Bilodeau,2013

5. Price discovery without trading: Evidence from limit orders;Brogaard,2016

Cited by 3 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. Algorithmic trading and market efficiency around the introduction of the NYSE Hybrid Market;Journal of Financial Markets;2024-06

2. Cross-impact of order flow imbalance in equity markets;Quantitative Finance;2023-08-17

3. Bayesian bilinear neural network for predicting the mid‐price dynamics in limit‐order book markets;Journal of Forecasting;2023-02-24

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