The price impact of order book events

Journal of Financial Econometrics

Volumn 12, Issue 1, 2013, Pages 47-88

  Cont, Rama ^a   Kukanov, Arseniy ^b   Stoikov, Sasha ^c  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

^b Och Spine at New York Presbyterian Hospitals   (United States)

^c Department of Obstetrics Gynecology   (United States)

Author keywords

High frequency data; Limit order book; Liquidity; Market microstructure; Price impact

Indexed keywords

EID: 84890327953     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbt003     Document Type: Article

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