Does the open limit order book matter in explaining informational volatility?

Journal of Financial Econometrics

Volumn 8, Issue 1, 2010, Pages 57-87

  Pascual, Roberto ^a   Veredas, David ^b  

^a UNIVERSITAT DE LES ILLES BALEARS   (Spain)

^b UNIVERSITÉ LIBRE DE BRUXELLES   (Belgium)

Author keywords

Limit order book; Market microstructure; Order drivenmarkets; Price formation; State space models; Volatility

Indexed keywords

EID: 77951152248     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbp021     Document Type: Article

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