The price path due to order imbalances: Evidence from the amsterdam agricultural futures exchange

European Financial Management

Volumn 4, Issue 1, 1998, Pages 47-64

  Pennings, Joost M E ^a   Kuiper, W Erno ^a   Hofstede, Frenkel Ter ^a   Meulenberg, Matthew T G ^a  

^a WAGENINGEN UNIVERSITY   (Netherlands)

Author keywords

Dimensions; Futures exchange; Liquidity; Market depth; Order imbalances

Indexed keywords

EID: 84979208367     PISSN: 13547798     EISSN: 1468036X     Source Type: Journal    
DOI: 10.1111/1468-036X.00053     Document Type: Article

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