What pieces of limit order book information matter in explaining order choice by patient and impatient traders?

Quantitative Finance

Volumn 9, Issue 5, 2009, Pages 527-545

  Pascual, Roberto ^a   Veredaszx, David ^b,c  

^a UNIVERSITAT DE LES ILLES BALEARS   (Spain)

^b UNIVERSITÉ LIBRE DE BRUXELLES   (Belgium)

^c UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

Author keywords

Limit order book; Limit orders; Market orders; Order aggressiveness; Order driven markets

Indexed keywords

EID: 70449686017     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680802616704     Document Type: Article

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