Order book characteristics and the volume-volatility relation: Empirical evidence from a limit order market

Journal of Financial Markets

Volumn 9, Issue 4, 2006, Pages 408-432

  Næs, Randi ^a   Skjeltorp, Johannes A ^a  

^a NORGES BANK   (Norway)

Author keywords

Asymmetric information; Equity trading; Market microstructure

Indexed keywords

EID: 33749340295     PISSN: 13864181     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.finmar.2006.04.001     Document Type: Article

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