Liquidity Supply and Demand in Limit Order Markets
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Cited by:
- Thierry Foucault & Ohad Kadan & Eugene Kandel, 2005.
"Limit Order Book as a Market for Liquidity,"
The Review of Financial Studies, Society for Financial Studies, vol. 18(4), pages 1171-1217.
- FOUCAULT, Thierry & KADAN, Ohad & KANDEL, Eugene, 2001. "Limit order book as a market for liquidity," HEC Research Papers Series 728, HEC Paris.
- Foucault, Thierry & Kandel, Eugene & Kadan, Ohad, 2001. "Limit Order Book as a Market for Liquidity," CEPR Discussion Papers 2889, C.E.P.R. Discussion Papers.
- Thierry Foucault & Ohad Kadan & Eugene Kandel, 2011. "Limit Order Book as a Market for Liquidity," Working Papers hal-00597190, HAL.
- Thierry Foucault & Ohad Kadan & Eugene Kandel, 2005. "Limit Order Book as a Market for Liquidity," Post-Print halshs-00005043, HAL.
- Thierry Foucault & Ohad Kadan & Eugene Kandel, 2005. "Limit Order Book as a Market for Liquidity," Post-Print hal-00459785, HAL.
- Thierry Foucault & Ohad Kadan & Eugene Kandel, 2003. "Limit Order Book as a Market for Liquidity," Discussion Paper Series dp321, The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem.
- Anthony D. Hall & Nikolaus Hautsch, 2008.
"Order aggressiveness and order book dynamics,"
Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 133-165,
Springer.
- Anthony Hall & Nikolaus Hautsch, 2006. "Order aggressiveness and order book dynamics," Empirical Economics, Springer, vol. 30(4), pages 973-1005, January.
- Anthony D. Hall & Nikolaus Hautsch, 2004. "Order Aggressiveness and Order Book Dynamics," FRU Working Papers 2005/04, University of Copenhagen. Department of Economics. Finance Research Unit.
- Jeremy Large, 2004.
"Cancellation and uncertainty aversion on limit order books,"
OFRC Working Papers Series
2004fe04, Oxford Financial Research Centre.
- Jeremy Large, 2004. "Cancellation and uncertainty aversion on limit order books," Economics Series Working Papers 2004-FE-04, University of Oxford, Department of Economics.
- Jeremy Large, 2004. "Cancellation and Uncertainty Aversion on Limit Order Books," Economics Papers 2004-W05, Economics Group, Nuffield College, University of Oxford.
- Anthony D. Hall & Nikolaus Hautsch, 2004.
"A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market,"
Discussion Papers
04-07, University of Copenhagen. Department of Economics.
- Anthony D. Hall & Nikolaus Hautsch, 2004. "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," FRU Working Papers 2004/03, University of Copenhagen. Department of Economics. Finance Research Unit.
- Anthony D. Hall & Nikolaus Hautsch, 2004. "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," Research Paper Series 121, Quantitative Finance Research Centre, University of Technology, Sydney.
- John A. Carlson & Christian M. Dahl & Carol L. Osler, 2008.
"Short-run Exchange-rate Dynamics: Theory And Evidence,"
Working Papers
39, Brandeis University, Department of Economics and International Business School.
- John A Carlson & Christian M. Dahl & Carol L. Osler, 2008. "Short-run Exchange-Rate Dynamics: Theory and Evidence," CREATES Research Papers 2008-01, Department of Economics and Business Economics, Aarhus University.
- Ioanid Rosu, 2009. "A Dynamic Model of the Limit Order Book," Post-Print hal-00515873, HAL.
- Gau, Yin-Feng & Wu, Zhen-Xing, 2014. "Order choices under information asymmetry in foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 106-118.
- Ingrid Lo & Stephen Sapp, 2005. "Order Submission: The Choice between Limit and Market Orders," Staff Working Papers 05-42, Bank of Canada.
- Carlson, John A. & Lo, Melody, 2006. "One minute in the life of the DM/US$: Public news in an electronic market," Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1090-1102, November.
- Ioanid Rosu, 2009. "A Dynamic Model of the Limit Order Book," The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4601-4641, November.
- Saumya Ranjan Dash & Debasish Maitra & Byomakesh Debata & Jitendra Mahakud, 2021. "Economic policy uncertainty and stock market liquidity: Evidence from G7 countries," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 611-626, June.
- Brunel, Alexandre, 2011. "Impact des rachats d’actions sur la liquidité et la rentabilité des actions," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/6404 edited by Hamon, Jacques.
- Hall, Anthony D. & Hautsch, Nikolaus, 2007. "Modelling the buy and sell intensity in a limit order book market," Journal of Financial Markets, Elsevier, vol. 10(3), pages 249-286, August.
- Carol L. Osler, 2006. "Macro lessons from microstructure," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(1), pages 55-80.
- Ellul, Andrew & Holden, Craig W. & Jain, Pankaj & Jennings, Robert, 2003. "A comprehensive test of order choice theory: recent evidence from the NYSE," LSE Research Online Documents on Economics 24896, London School of Economics and Political Science, LSE Library.
- Bruce Lehmann, 2008. "Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk," NBER Working Papers 13848, National Bureau of Economic Research, Inc.
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More about this item
Keywords
Liquidity; Limit orders; Market orders; High frequency data; Discrete choice;All these keywords.
JEL classification:
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2003-02-18 (Corporate Finance)
- NEP-DCM-2003-02-18 (Discrete Choice Models)
- NEP-FIN-2003-02-18 (Finance)
- NEP-FMK-2003-02-18 (Financial Markets)
- NEP-RMG-2003-02-18 (Risk Management)
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