Order aggressiveness and order book dynamics

Empirical Economics

Volumn 30, Issue 4, 2006, Pages 973-1005

  Hall, Anthony D ^a   Hautsch, Nikolaus ^b  

^a UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

^b UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

Aggressive limit orders and cancellations; Aggressive market orders; Multivariate intensity; Open limit order book

Indexed keywords

ECONOMIC ACTIVITY; EMPIRICAL ANALYSIS;

EID: 31044446728     PISSN: 03777332     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00181-005-0008-7     Document Type: Article

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