Does the Open Limit Order Book Reveal Information About Short-run Stock Price Movements?
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More about this item
Keywords
Negative integer-valued data; time series; INAR; finance; stock price; open limit order book;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
- 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
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2006-09-03 (Corporate Finance)
- NEP-FIN-2006-09-03 (Finance)
- NEP-FMK-2006-09-03 (Financial Markets)
- NEP-MST-2006-09-03 (Market Microstructure)
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