Order flow and the bid-ask spread: An empirical probability model of screen-based trading

Journal of Economic Dynamics and Control

Volumn 21, Issue 8-9, 1997, Pages 1471-1491

  Bollerslev, Tim ^a,b   Domowitz, Ian ^c   Wang, Jianxin ^d  

^a UNIVERSITY OF VIRGINIA   (United States)

^b NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

^c NORTHWESTERN UNIVERSITY   (United States)

^d UNIVERSITY OF NEW SOUTH WALES   (Australia)

Author keywords

Bid ask spreads; Foreign exchange quotations; Limit order book; Order flow; Screen based trading; Statistical model evaluation

Indexed keywords

EID: 0031590029     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1889(97)00036-5     Document Type: Article

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