Limit Orders, Market Structure, and the Returns Generation Process
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Cited by:
- Anufriev, Mikhail & Panchenko, Valentyn, 2009.
"Asset prices, traders' behavior and market design,"
Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1073-1090, May.
- Anufriev, M. & Panchenko, V., 2007. "Asset Prices, Traders' Behavior, and Market Design," CeNDEF Working Papers 07-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Marco Licalzi & Paolo Pellizzari, 2003.
"Fundamentalists clashing over the book: a study of order-driven stock markets,"
Quantitative Finance, Taylor & Francis Journals, vol. 3(6), pages 470-480.
- Marco LiCalzi & Paolo Pellizzari, 2002. "Fundamentalists Clashing over the Book: A Study of Order-Driven Stock Markets," Computational Economics 0207001, University Library of Munich, Germany, revised 04 Mar 2003.
- W. Yang, 1999. "The Demand for and Supply of Shares. An Empirical Study of the Limit Order Book on the ASX," Economics Discussion / Working Papers 99-03, The University of Western Australia, Department of Economics.
- Goldstein, Michael A. & Kavajecz, Kenneth A., 2004. "Trading strategies during circuit breakers and extreme market movements," Journal of Financial Markets, Elsevier, vol. 7(3), pages 301-333, June.
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