The information content of the limit order book: Evidence from NYSE specialist trading decisions

Journal of Financial Markets

Volumn 8, Issue 1, 2005, Pages 25-67

  Harris, Lawrence E ^a   Panchapagesan, Venkatesh ^b  

^a UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

^b WASHINGTON UNIVERSITY IN ST LOUIS   (United States)

Author keywords

Limit order book; Limit order option values; Market transparency; Minimum price increments; Specialist trading; Tick sizes

Indexed keywords

EID: 12344287195     PISSN: 13864181     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.finmar.2004.07.001     Document Type: Article

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