Limit Order Flow, Market Impact, and Optimal Order Sizes: Evidence From NASDAQ TotalView-ITCH Data

doi 10.1002/9781118673553.ch6
Full Text
Abstract

Available in full text

Date
Authors
Publisher

John Wiley & Sons Ltd

Related search

Optimal Execution in a Limit Order Book and an Associated Microstructure Market Impact Model

SSRN Electronic Journal
2015English

Undisclosed Orders and Optimal Submission Strategies in a Dynamic Limit Order Market

SSRN Electronic Journal
2011English

Estimation of the Discontinuous Leverage Effect: Evidence From the NASDAQ Order Book

2017English

Order Submission: The Choice Between Limit and Market Orders

SSRN Electronic Journal
2003English

Limit Order Book as a Market for Liquidity

SSRN Electronic Journal
2001English

A Dynamic Limit Order Market With Fast and Slow Traders

Journal of Financial Economics
ManagementFinanceEconomicsStrategyAccountingEconometrics
2014English

A Dynamic Limit Order Market With Fast and Slow Traders

SSRN Electronic Journal
2011English

Constrained Optimal Reduced-Order Models From Input/Output Data

2016English

Simulating Trader Manipulation in a Limit-Order Driven Market

2011English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy