Order characteristics and stock price evolution An application to program trading
Author:
Publisher
Elsevier BV
Subject
Strategy and Management,Economics and Econometrics,Finance,Accounting
Reference38 articles.
1. Estimates of nonlinearity in the response of stock prices to order imbalances;Algert,1994
2. Stealth trading and volatility: Which trades move prices;Barclay;Journal of Financial Economics,1993
3. Displayed and effective spreads by market;Blume,1992
4. Order form and information in securities markets;Easley;Journal of Finance,1991
5. A theory of the interday variations in volumes, variances and trading costs in securities markets;Foster;Review of Financial Studies,1990
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