Decomposing liquidity along the limit order book

Journal of Banking and Finance

Volumn 32, Issue 8, 2008, Pages 1687-1698

  Rakowski, David ^a   Wang Beardsley, Xiaoxin ^a  

^a SOUTHERN ILLINOIS UNIVERSITY   (United States)

Author keywords

Asymmetric information; ECN; Liquidity; Microstructure; Spread

Indexed keywords

EID: 46749123122     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2007.11.020     Document Type: Article

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