Order Arrival, Quote Behavior, and the Return-Generating Process
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1540-6261.1987.tb03926.x/fullpdf
Reference18 articles.
1. On the Structure of Moving Average Processes;Ansley;Journal of Econometrics,1977
2. On the Dynamics of Behavior of Prices in Disequilibrium;Beja;Journal of Finance,1980
3. Transactions Costs, Order Placement Strategy, and Existence of the Bid/Ask Spread;Cohen;Journal of Political Economy,1981
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