The market impact of a limit order

Journal of Economic Dynamics and Control

Volumn 36, Issue 4, 2012, Pages 501-522

  Hautsch, Nikolaus ^a,b   Huang, Ruihong ^a  

^a HUMBOLDT UNIVERSITY   (Germany)

^b Center for Financial Studies   (Germany)

Author keywords

Cointegration; Impulse response function; Limit order; Price impact

Indexed keywords

EID: 84856727714     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2011.09.012     Document Type: Article

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