CME Iceberg Order Detection and Prediction
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References listed on IDEAS
- Fleming, Michael J. & Mizrach, Bruce & Nguyen, Giang, 2018.
"The microstructure of a U.S. Treasury ECN: The BrokerTec platform,"
Journal of Financial Markets, Elsevier, vol. 40(C), pages 2-22.
- Michael Fleming & Bruce Mizrach, 2008. "The Microstructure of a U.S. Treasury ECN: The Brokertec Platform," Departmental Working Papers 200803, Rutgers University, Department of Economics.
- Michael J. Fleming & Bruce Mizrach & Giang Nguyen, 2009. "The microstructure of a U.S. Treasury ECN: the BrokerTec platform," Staff Reports 381, Federal Reserve Bank of New York.
- Stefan Frey & Patrik Sandås, 2017. "The Impact of Iceberg Orders in Limit Order Books," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(03), pages 1-43, September.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-FOR-2019-09-30 (Forecasting)
- NEP-MST-2019-09-30 (Market Microstructure)
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