The information content of an open limit-order book

Journal of Futures Markets

Volumn 29, Issue 1, 2009, Pages 16-41

  Cao, Charles ^a,b   Hansch, Oliver ^a   Wang, Xiaoxin ^c  

^a PENNSYLVANIA STATE UNIVERSITY   (United States)

^b Department of Finance ^*

^c SOUTHERN ILLINOIS UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 57349177500     PISSN: 02707314     EISSN: 10969934     Source Type: Journal    
DOI: 10.1002/fut.20334     Document Type: Article

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