Econometric models of limit-order executions
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- Andrew W. Lo & A. Craig MacKinlay & June Zhang, 1997. "Econometric Models of Limit-Order Executions," NBER Working Papers 6257, National Bureau of Economic Research, Inc.
- Andrew W. Lo & A. Craig MacKinlay & June Zhang, "undated". "Econometric Models of Limit-Order Executions," Rodney L. White Center for Financial Research Working Papers 12-99, Wharton School Rodney L. White Center for Financial Research.
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"Econometric models of limit-order executions,"
Journal of Financial Economics, Elsevier, vol. 65(1), pages 31-71, July.
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- Andrew W. Lo & A. Craig MacKinlay & June Zhang, 1997. "Econometric Models of Limit-Order Executions," NBER Working Papers 6257, National Bureau of Economic Research, Inc.
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JEL classification:
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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