Depth Characteristics for the Electronic Futures Limit Order Book-Reference-Cited by-同舟云学术

Depth Characteristics for the Electronic Futures Limit Order Book

Published:2015-01-06 Issue:6 Volume:35 Page:542-560
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:

Author:

Aidov Alexandre¹,Daigler Robert T.²

Affiliation:

1. Alexandre Aidov is an Assistant Professor of Finance, Department of Accounting, Economics and Finance, School of Business Administration; University of Houston-Victoria; Victoria Texas

2. Robert T. Daigler is Knight Ridder Research Professor of Finance at the Chapman Graduate School of Business; Florida International University; Miami Florida

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/fut.21706/fullpdf

Reference28 articles.

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2. An exploratory analysis of the order book, and order flow and execution on the Saudi stock market;Al-Suhaibani;Journal of Banking & Finance,2000

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

4. Order placement strategies in a pure limit order book market;Cao;Journal of Financial Research,2008

5. The information content of an open limit-order book;Cao;Journal of Futures Markets,2009

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