Bid-Ask Spread, Quoted Depths, and Unexpected Duration Between Trades
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DOI: 10.1007/s10693-015-0233-y
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Cited by:
- Fan He & Xuansen He, 2019. "A Continuous Differentiable Wavelet Shrinkage Function for Economic Data Denoising," Computational Economics, Springer;Society for Computational Economics, vol. 54(2), pages 729-761, August.
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More about this item
Keywords
Autoregressive conditional duration model; Unexpected duration; Bid-ask spread; Quoted depths; Information asymmetry; Liquidity;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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