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Publications by Erick Williams Rengifo

Trading Activity and Liquidity Supply in a Pure Limit Order Book Market. An Empirical Analysis Using a Multivariate Count Data Model

SSRN Electronic Journal

English

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Limit Order Book as a Market for Liquidity

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Ex-Dividend Trading Deadlines and Limit Order Book Liquidity

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

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Forecasting Limit Order Book Liquidity Supply–demand Curves With Functional Autoregressive Dynamics

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Estimating Liquidity Using Information on the Multivariate Trading Process

SSRN Electronic Journal

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A Dynamic Model of the Limit Order Book

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The Information Content of a Limit Order Book: The Case of an FX Market

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The Mixed Model for the Analysis of a Repeated-Measurement Multivariate Count Data

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Exchange Trading Rules and Stock Market Liquidity

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