Econometric models of limit-order executions

Journal of Financial Economics

Volumn 65, Issue 1, 2002, Pages 31-71

  Lo, Andrew W ^a   MacKinlay, A Craig ^b   Zhang, June ^c  

^a MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

^b UNIVERSITY OF PENNSYLVANIA   (United States)

^c AlphaSimplex Group LLC   (United States)

Author keywords

Market microstructure; Portfolio management; Transactions costs

Indexed keywords

EID: 0036335159     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-405X(02)00134-4     Document Type: Article

References (40)

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9. Analysis of Survival Data
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