Multiple-limit trades: Empirical facts and application to lead-lag measures

Quantitative Finance

Volumn 13, Issue 5, 2013, Pages 783-793

  Pomponio, Fabrizio ^a,b   Abergel, Frederic ^a  

^a ECOLE CENTRALE PARIS   (France)

^b BNP PARIBAS   (France)

Author keywords

Econometrics of financial markets; Econophysics; Empirical finance; Imperfections; Limit order market

Indexed keywords

EID: 84877585242     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697688.2012.743671     Document Type: Article

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