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Order flow composition and trading costs in a dynamic limit order market. (1999). Foucault, Thierry.
In: Post-Print.
RePEc:hal:journl:hal-00459769.

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  47. Order Flow Persistence in Equity Spot and Futures Markets: Evidence from a Dynamic Emerging Market. (2019). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Corbet, Shaen ; Gulay, Guzhan ; Akyildirim, Erdinc.
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  55. Do investors choose trade-size according to liquidity, empirical evidence from the S&P 500 index future market. (2019). Zhang, Rui ; Fu, Zhiming ; Yan, Xin ; Wu, Liang.
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  91. Stepping out of the limit order book: Empirical evidence from the EBS FX market. (2016). Yoshida, Yushi ; Susai, Masayuki.
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  92. Why do carbon prices and price volatility change?. (2016). Ibrahim, Boulis Maher ; Kalaitzoglou, Iordanis Angelos .
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  93. Pre-trade transparency and informed trading: Experimental evidence on undisclosed orders. (2016). Gozluklu, Arie E.
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  94. Information Asymmetry and Quarterly Disclosure Decisions by Firms: Evidence From the Tokyo Stock Exchange. (2016). Kubota, Keiichi ; Takehara, Hitoshi.
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  95. The Evolution of Informed Liquidity Provision: Evidence from an Order†driven Market. (2016). Wee, Marvin ; Yang, Joey W.
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  96. Broker Routing Decisions in Limit Order Markets. (2016). Cimon, David.
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  97. Essays in Market Microstructure and Investor Trading. (2015). Lo, Danny.
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  98. Essays in Market Microstructure and Investor Trading. (2015). Lo, Danny .
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  99. Information content of inter-transaction time: A structural approach. (2015). Ryu, Doojin.
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  100. Markets with random lifetimes and private values: mean reversion and option to trade. (2015). Plott, Charles ; Cvitanic, Jaksa ; Tseng, Chien-Yao .
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  101. Optimal trading of algorithmic orders in a liquidity fragmented market place. (2015). Kumaresan, Miles ; Kreji, Nataa.
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  102. Trading in Fragmented Markets. (2015). Baldauf, Markus ; Mollner, Joshua .
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  103. Mit veszítünk a piaci súrlódásokkal?. A pénzügyi piacok mikrostruktúrája. (2015). Havran, Dániel ; Erb, Tamas .
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  104. A Worldwide Examination of Exchange Market Quality: Greater Integrity Increases Market Efficiency. (2015). SHAN, JI ; Aitken, Michael ; Harris, Frederick ; Ji, Shan.
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  105. Price Impact and the Recovery of the Limit Order Book: Why Should We Care About Informed Liquidity Providers?. (2015). Váradi, Kata ; Havran, Dániel ; Varadi, Kata .
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  106. Price dynamics and market liquidity: An intraday event study on Euronext. (2015). Mazza, Paolo.
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  107. Limit order book transparency and order aggressiveness at the closing call: Lessons from the TWSE 2012 new information disclosure mechanism. (2015). Chen, Shu-Heng ; Tseng, Yi-Heng.
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  108. Trading rules, competition for order flow and market fragmentation. (2015). McInish, Thomas ; masulis, ronald ; Kwan, Amy.
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    RePEc:eee:jfinec:v:115:y:2015:i:2:p:330-348.

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  109. Information revelation in the Greek exchange opening call: Daily and intraday evidence. (2015). Kanas, Angelos ; Papachristou, George ; Anagnostidis, Panagiotis .
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  110. Trading costs on the Stock Exchange of Thailand. (2015). Jenwittayaroje, Nattawut ; Yang, Yung Chiang ; Ding, David K ; Charoenwong, Charlie .
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  111. The impact of reduced pre-trade transparency regimes on market quality. (2015). Iori, Giulia ; Kovaleva, Polina .
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  112. Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes. (2015). Yu, V ; Zeifman, A I ; Chertok, A V.
    In: Applied Mathematics and Computation.
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  113. Liquidity Dynamics in an Electronic Open Limit Order Book: an Event Study Approach. (2015). Theissen, Erik ; Schweickert, Uwe ; Gomber, Peter.
    In: European Financial Management.
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  114. Ergodicity and diffusivity of Markovian order book models: a general framework. (2015). Huang, Weibing ; Rosenbaum, Mathieu.
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  115. Do Dark Pools Harm Price Discovery?. (2014). Zhu, Haoxiang.
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  116. “Every move you make, every step you take, I’ll be watching you” – the quest for hidden orders in the interbank FX spot market. (2014). Bień-Barkowska, Katarzyna.
    In: Bank i Kredyt.
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  117. Capturing Order Book Dynamics in the Interbank EUR/PLN Spot Market. (2014). Bień-Barkowska, Katarzyna.
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    RePEc:mes:emfitr:v:50:y:2014:i:1:p:93-117.

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  118. Investors’ perception of corporate governance: a spillover effect of Taiwan corporate scandals. (2014). Fan, Whei-May ; Lee, Jie-Haun .
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:43:y:2014:i:1:p:97-119.

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  119. The causal impact of algorithmic trading on market quality. (2014). Thomas, Susan ; Aggarwal, Nidhi.
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  120. Relative Liquidity and Future Volatility. (2014). Zer, Ilknur ; Rheinlander, Thorsten ; Fryzlewicz, Piotr ; Valenzuela, Marcela.
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  121. A dynamic limit order market with fast and slow traders. (2014). Hoffmann, Peter.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:113:y:2014:i:1:p:156-169.

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  122. Speed, algorithmic trading, and market quality around macroeconomic news announcements. (2014). van Dijk, Dick ; Frijns, Bart ; Scholtus, Martin .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:38:y:2014:i:c:p:89-105.

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  123. Anonymity and the Information Content of the Limit Order Book. (2014). Duong, Huu Nhan ; Kalev, Petko S..
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:30:y:2014:i:c:p:205-219.

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  124. Order choices under information asymmetry in foreign exchange markets. (2014). Gau, Yin-Feng ; Wu, Zhen-Xing .
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    RePEc:eee:intfin:v:30:y:2014:i:c:p:106-118.

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  125. Waiting costs and limit order book liquidity: Evidence from the ex-dividend deadline in Australia. (2014). Lee, Adrian ; Ainsworth, Andrew .
    In: Journal of Financial Markets.
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  126. An empirical analysis of non-execution and picking-off risks on the Tokyo Stock Exchange. (2014). Yamamoto, Ryuichi.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:29:y:2014:i:c:p:369-383.

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  127. The informational effect and market quality impact of upstairs trading and fleeting orders on the Australian Securities Exchange. (2014). Rose, Annica.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:28:y:2014:i:c:p:171-184.

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  128. Individuals’ Trading Prior to Earnings Announcements. (2014). Tsai, Shih-Chuan.
    In: Journal of Business Finance & Accounting.
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  129. The Microstructure of Trading Processes on the Singapore Exchange. (2013). Murphy Jun Jie Lee, .
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  130. The Microstructure of Trading Processes on the Singapore Exchange. (2013). Jie, Murphy Jun.
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  131. Competition between stock exchanges and optimal trading. (2013). van Kervel, Vincent.
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  132. A dynamic limit order market with fast and slow traders. (2013). .
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  133. The Dynamic Properties of Financial-Market Equilibrium with Trading Fees. (2013). Buss, Adrian ; Dumas, Bernard.
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  134. The impact of transparency on market quality for the Taiwan Stock Exchange. (2013). Ke, Mei-Chu ; Huang, Yen-Sheng ; Liao, Tung Liang ; Wang, Ming-Hui.
    In: International Review of Economics & Finance.
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  135. Anonymity and order submissions. (2013). Duong, Huu Nhan ; Kalev, Petko S..
    In: Pacific-Basin Finance Journal.
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  136. Undisclosed orders and optimal submission strategies in a limit order market. (2013). Rindi, Barbara ; Buti, Sabrina .
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  137. Liquidity provision in a limit order book without adverse selection. (2013). Bayar, Onur.
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  138. Competition, signaling and non-walking through the book: Effects on order choice. (2013). Zer, Ilknur ; Valenzuela, Marcela.
    In: Journal of Banking & Finance.
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  139. Low-latency trading. (2013). Saar, Gideon ; Hasbrouck, Joel .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:16:y:2013:i:4:p:646-679.

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  140. Optimal trading strategy and supply/demand dynamics. (2013). Obizhaeva, Anna ; Wang, Jiang.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:16:y:2013:i:1:p:1-32.

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  141. Market Liquidity—Theory and Empirical Evidence *. (2013). Vayanos, Dimitri ; Wang, Jiang.
    In: Handbook of the Economics of Finance.
    RePEc:eee:finchp:2-b-1289-1361.

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  142. Sub-Penny and Queue-Jumping. (2013). Rindi, Barbara ; Buti, Sabrina ; Werner, Ingrid M ; Consonni, Francesco .
    In: Working Paper Series.
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  143. A dynamic limit order market with fast and slow traders. (2013). Hoffmann, Peter.
    In: Working Paper Series.
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  144. Financial-market Equilibrium with Friction. (2013). Buss, Adrian ; Dumas, Bernard J.
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  145. Limited attention and news arrival in limit order markets.. (2013). Dugast, Jérôme.
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  146. Limit Order Books. (2013). Fenn, Daniel J. ; Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark .
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  147. Internalization, Clearing and Settlement, and Liquidity. (2012). Degryse, Hans ; Wuyts, G ; van Achter, M.
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  148. Internalization, Clearing and Settlement, and Liquidity. (2012). Degryse, Hans ; Wuyts, G ; van Achter, M.
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  149. Internalization, Clearing and Settlement, and Liquidity. (2012). Degryse, Hans ; Wuyts, G ; van Achter, M.
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  150. Internalization, Clearing and Settlement, and Liquidity. (2012). Degryse, Hans ; Wuyts, G. ; Vanachter, M. ; van Achter, M..
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  151. Internalization, Clearing and Settlement, and Liquidity. (2012). Degryse, Hans ; Wuyts, G. ; Vanachter, M. ; van Achter, M..
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  152. Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements. (2012). van Dijk, Dick ; Frijns, Bart ; Scholtus, Martin L..
    In: Tinbergen Institute Discussion Papers.
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  153. On the hidden side of liquidity. (2012). PASCUAL, ROBERTO ; Pardo, Angel .
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  154. A re-examination of the “zero is enough” hypothesis in the emergence of financial stylized facts. (2012). Waldeck, Roger ; Brandouy, Olivier ; Veryzhenko, Iryna ; Corelli, Angelo.
    In: Journal of Economic Interaction and Coordination.
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  155. A dynamic limit order market with fast and slow traders. (2012). Hoffmann, Peter.
    In: MPRA Paper.
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  156. Central bank interventions and limit order behavior in the foreign exchange market. (2012). Yoshida, Yushi ; Susai, Masayuki.
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  157. Technical analyses and order submission behaviors: Evidence from an emerging market. (2012). Chiao, Chaoshin ; Wang, Zi-Mei ; Chang, Ya-Ting.
    In: International Review of Economics & Finance.
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  158. The effect of a closing call auction on market quality and trading strategies. (2012). Rindi, Barbara ; Kandel, Eugene ; Bosetti, Luisella .
    In: Journal of Financial Intermediation.
    RePEc:eee:jfinin:v:21:y:2012:i:1:p:23-49.

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  159. The information content of a limit order book: The case of an FX market. (2012). Kozhan, Roman ; Salmon, Mark .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:15:y:2012:i:1:p:1-28.

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  160. Internalization, Clearing and Settlement, and Liquidity. (2012). Degryse, Hans ; Wuyts, Gunther ; Van Achter, Mark .
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  161. Limit order books and trade informativeness. (2011). Menkveld, Albert ; Grammig, Joachim G. ; BELTRAN-LOPEZ, Helena .
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  162. Time and the price impact of a trade: A structural approach. (2011). Theissen, Erik ; Wunsche, Oliver ; Grammig, Joachim G..
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  163. Liquidity dynamics in an electronic open limit order book: An event study approach. (2011). Theissen, Erik ; Schweickert, Uwe ; Gomber, Peter.
    In: CFR Working Papers.
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  164. Fertility Responses to Prevention of Mother-to-Child Transmission of HIV. (2011). Wilson, Nicholas ; Osler, Carol ; Nguyen, Thang .
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  165. How to Compute the Liquidity Cost in the Orders-Driven Market?. (2011). Negrea, Bogdan.
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  166. Multistate asymmetric ACD model: an application to order dynamics in the EUR/PLN spot market. (2011). Bień-Barkowska, Katarzyna.
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  167. Price discovery in currency markets. (2011). Menkhoff, Lukas ; Mende, Alexander ; Osler, Carol L..
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:30:y:2011:i:8:p:1696-1718.

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  168. Exchange rate response to macronews: Through the lens of microstructure. (2011). Savaser, Tanseli.
    In: Journal of International Financial Markets, Institutions and Money.
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  169. Markets change every day: Evidence from the memory of trade direction. (2011). Axioglou, Christos ; Skouras, Spyros .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:3:p:423-446.

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  170. A model of bank lending in the global financial crisis and the case of Korea. (2011). Romeu, Rafael ; Leony, Larissa .
    In: Journal of Asian Economics.
    RePEc:eee:asieco:v:22:y:2011:i:4:p:322-334.

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  171. Impact des rachats d’actions sur la liquidité et la rentabilité des actions. (2011). Brunel, Alexandre .
    In: Economics Thesis from University Paris Dauphine.
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  172. Belief Dispersion and Order Submission Strategies in the Foreign Exchange Market. (2011). Lo, Ingrid ; Sapp, Stephen .
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  173. Liquidity and Efficiency During Unusual Market Conditions: An Analysis of Short Selling Restrictions and Expiration-Day Procedures on the London Stock Exchange. (2010). Clifton, Matthew .
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  174. Hidden Limit Orders and Liquidity in Order Driven Markets. (2010). Moinas, Sophie.
    In: TSE Working Papers.
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  175. Risk aversion, order strategy and price formation. (2010). Kuo, Chau-Jung ; Wang, Ming-Chang ; Zu, Lon-Ping .
    In: Applied Economics.
    RePEc:taf:applec:v:42:y:2010:i:5:p:627-640.

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  176. Does the Open Limit Order Book Matter in Explaining Informational Volatility?. (2010). Veredas, David ; PASCUAL, ROBERTO.
    In: Journal of Financial Econometrics.
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  177. Trading strategies and trading profits in experimental asset markets with cumulative information. (2010). Kirchler, Michael ; Stockl, Thomas.
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  178. Imperfect Competition in Financial Markets: An Empirical Study of Island and Nasdaq. (2010). BISIÈRE, Christophe ; Biais, Bruno ; Spatt, Chester.
    In: Management Science.
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  179. Hidden Limit Orders and Liquidity in Order Driven Markets. (2010). Moinas, Sophie.
    In: IDEI Working Papers.
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  180. Limit Orders, Trading Activity, and Transactions Costs in Equity Futures in an Electronic Trading Environment. (2010). Switzer, Lorne ; Fan, Haibo .
    In: International Econometric Review (IER).
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  181. International order flows: Explaining equity and exchange rate returns. (2010). Moore, Michael ; Hau, Harald ; Dunne, Peter.
    In: Journal of International Money and Finance.
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  182. Limit order revisions. (2010). Fong, Kingsley Y. L., ; Liu, Wai-Man.
    In: Journal of Banking & Finance.
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  183. Limit-order submission strategies under asymmetric information. (2010). Schmeling, Maik ; Osler, Carol ; Menkhoff, Lukas.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:11:p:2665-2677.

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  184. Order aggressiveness and quantity: How are they determined in a limit order market?. (2010). Lo, Ingrid ; Sapp, Stephen G..
    In: Journal of International Financial Markets, Institutions and Money.
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  185. Market makers as information providers: The natural experiment of STAR. (2010). Rindi, Barbara ; Perotti, Pietro.
    In: Journal of Empirical Finance.
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  186. Order aggressiveness as a metric to assess the usefulness of accounting information. (2010). Perotti, Pietro.
    In: The International Journal of Accounting.
    RePEc:eee:accoun:v:45:y:2010:i:3:p:306-333.

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  187. Limit-Order Submission Strategies under Asymmetric Information. (2010). Schmeling, Maik ; Osler, Carol ; Menkhoff, Lukas.
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  188. Price Discovery in Currency Markets. (2010). Osler, Carol ; Menkhoff, Lukas ; Mende, Alexander .
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  189. Electronic limit order book and order submission choice around macroeconomic news. (2009). Lasser, Dennis ; Erenburg, Grigori .
    In: Review of Financial Economics.
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  190. Liquidity Shocks and Order Book Dynamics. (2009). Weill, Pierre-Olivier ; Biais, Bruno.
    In: TSE Working Papers.
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  191. Liquidity, Volume, and Price Behavior: The Impact of Order vs. Quote Based Trading. (2009). Park, Andreas ; Malinova, Katya.
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  192. Diffusive behavior and the modeling of characteristic times in limit order executions. (2009). Mantegna, Rosario ; Lillo, Fabrizio ; Eisler, Zoltan ; Kertesz, Janos.
    In: Quantitative Finance.
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  193. What pieces of limit order book information matter in explaining order choice by patient and impatient traders?. (2009). Veredas, David ; PASCUAL, ROBERTO.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:9:y:2009:i:5:p:527-545.

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  194. A Dynamic Model of the Limit Order Book. (2009). Rosu, Ioanid.
    In: Review of Financial Studies.
    RePEc:oup:rfinst:v:22:y:2009:i:11:p:4601-4641.

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  195. Liquidity Shocks and Order Book Dynamics. (2009). Weill, Pierre-Olivier ; Biais, Bruno.
    In: NBER Working Papers.
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  196. Liquidity Shocks and Order Book Dynamics. (2009). Weill, Pierre-Olivier ; Biais, Bruno.
    In: IDEI Working Papers.
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  197. A Dynamic Model of the Limit Order Book. (2009). Rosu, Ioanid.
    In: Post-Print.
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  198. Electronic limit order book and order submission choice around macroeconomic news. (2009). Lasser, Dennis ; Erenburg, Grigori .
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:18:y:2009:i:4:p:172-182.

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  199. Order aggressiveness of institutional and individual investors. (2009). Krishnamurti, Chandrasekhar ; Duong, Huu Nhan ; Kalev, Petko S..
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:17:y:2009:i:5:p:533-546.

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  200. Hidden liquidity: An analysis of order exposure strategies in electronic stock markets. (2009). Bessembinder, Hendrik ; Panayides, Marios ; Venkataraman, Kumar.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:94:y:2009:i:3:p:361-383.

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  201. Informed traders and limit order markets. (2009). Parlour, Christine A. ; Rajan, Uday ; Goettler, Ronald L..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:93:y:2009:i:1:p:67-87.

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  202. Dynamic order submission strategies with competition between a dealer market and a crossing network. (2009). Degryse, Hans ; Wuyts, Gunther ; Van Achter, Mark .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:91:y:2009:i:3:p:319-338.

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  203. A market-clearing role for inefficiency on a limit order book. (2009). Large, Jeremy.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:91:y:2009:i:1:p:102-117.

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  204. Volatility regimes and order book liquidity: Evidence from the Belgian segment of Euronext. (2009). Giot, Pierre ; Durré, Alain ; Durre, Alain ; BELTRAN, Helena .
    In: Global Finance Journal.
    RePEc:eee:glofin:v:20:y:2009:i:1:p:80-97.

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  205. Technology and liquidity provision: The blurring of traditional definitions. (2009). Saar, Gideon ; Hasbrouck, Joel .
    In: Journal of Financial Markets.
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  206. Monitoring and limit order submission risks. (2009). Liu, Wai-Man.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:12:y:2009:i:1:p:107-141.

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  207. Do stylised facts of order book markets need strategic behaviour?. (2009). Schenk-Hoppé, Klaus ; Ladley, Daniel ; Schenk-Hoppe, Klaus Reiner.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:33:y:2009:i:4:p:817-831.

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  208. Measuring Investors Opinion Divergence. (2009). Garfinkel, Jon A..
    In: Journal of Accounting Research.
    RePEc:bla:joares:v:47:y:2009:i:5:p:1317-1348.

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  209. Market Sidedness: Insights into Motives for Trade Initiation. (2009). Sarkar, Asani ; Schwartz, Robert A..
    In: Journal of Finance.
    RePEc:bla:jfinan:v:64:y:2009:i:1:p:375-423.

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  210. Liquidity Provision of Limit Order Trading in the Futures Market Under Bull and Bear Markets. (2009). Lin, Tsaiyin ; Chiang, Minhsien ; Yu, Chihhsien Jerry.
    In: Journal of Business Finance & Accounting.
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  211. Liquidity Provision of Limit Order Trading in the Futures Market Under Bull and Bear Markets. (2009). YU, CHIH-HSIEN JERRY ; Lin, Tsai-Yin ; Chiang, Min-Hsien .
    In: Journal of Business Finance & Accounting.
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  212. Dynamic limit order market with diversity in trading horizons. (2008). Van Achter, Mark .
    In: CFS Working Paper Series.
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  213. Relation between bid-ask spread, impact and volatility in order-driven markets. (2008). Potters, Marc ; Bouchaud, Jean-Philippe ; Vettorazzo, Michele ; Wyart, Matthieu ; Kockelkoren, Julien .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:8:y:2008:i:1:p:41-57.

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  214. Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk. (2008). Lehmann, Bruce .
    In: NBER Working Papers.
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  215. Order Dynamics in the Italian Treasury Security Wholesale Secondary Market. (2008). Coluzzi, Chiara ; Ginebri, Sergio .
    In: Economics & Statistics Discussion Papers.
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  216. Liquidity on the Scandinavian Order-driven Stock Exchanges. (2008). Soderberg, Jonas .
    In: CAFO Working Papers.
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  217. Opening and Closing Asymmetry: Empirical Analysis from ISE Xetra. (2008). Kelly, Robert.
    In: The Economic and Social Review.
    RePEc:eso:journl:v:39:y:2008:i:1:p:55-78.

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  218. The submission of limit orders or market orders: The role of timing and information in the Reuters D2000-2 system. (2008). Lo, Ingrid ; Sapp, Stephen G..
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:27:y:2008:i:7:p:1056-1073.

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  219. Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model. (2008). Hautsch, Nikolaus.
    In: Journal of Economic Dynamics and Control.
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  220. Short-run Exchange-rate Dynamics: Theory And Evidence. (2008). Dahl, Christian ; Osler, Carol L. ; Carlson, John A..
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  221. ORDER PLACEMENT STRATEGIES IN A PURE LIMIT ORDER BOOK MARKET. (2008). Cao, Charles ; Wang, Xiaoxin ; Hansch, Oliver .
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:31:y:2008:i:2:p:113-140.

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  222. Financial analysts and price discovery. (2008). McInish, Thomas ; Aitken, Michael ; Frederick H. deB. Harris, ; Almeida, Niall ; Frederick H. deB. Harris, .
    In: Accounting and Finance.
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  223. Short-run Exchange-Rate Dynamics: Theory and Evidence. (2008). Osler, Carol ; Dahl, Christian ; Carlson, John A.
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  224. Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model. (2007). Hautsch, Nikolaus.
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  225. Exchange Rate Response to Macro News: Through the Lens of Microstructure. (2007). Savaser, Tanseli.
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  226. Dynamic Order Submission Strategies with Competition between a Dealer Market and a Crossing Network. (2007). Degryse, Hans ; Wuyts, G ; van Achter, M.
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  227. Dynamic Order Submission Strategies with Competition between a Dealer Market and a Crossing Network. (2007). Degryse, Hans ; Wuyts, G. ; Vanachter, M. ; van Achter, M..
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  228. Trading Activity, Trade Costs and Informed Trading for Acquisition Targets and Acquirers. (2007). Kryzanowski, Lawrence ; Lazrak, Skander.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:13:y:2007:i:5:p:405-439.

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  229. Dynamic order submission strategies with competition between a dealer market and a crossing network. (2007). Degryse, Hans ; Wuyts, Gunther ; Van Achter, Mark .
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  230. Modeling Electronic FX Brokerage as a Fast Order-Driven Marketunder Heterogeneous Private Values and Information. (2007). Derviz, Alexis.
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  231. Stock Market Liquidity.Determinants and Implications. (2007). Wuyts, G.
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  232. Limit orders and the intraday behavior of market liquidity: Evidence from the Toronto stock exchange. (2007). Vo, Minh T..
    In: Global Finance Journal.
    RePEc:eee:glofin:v:17:y:2007:i:3:p:379-396.

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  233. Modelling the buy and sell intensity in a limit order book market. (2007). Hall, Anthony ; Hautsch, Nikolaus.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:10:y:2007:i:3:p:249-286.

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  234. Liquidity supply in electronic markets. (2007). McInish, Thomas ; Aitken, Michael ; deB. Harris, Frederick H., ; Almeida, Niall.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:10:y:2007:i:2:p:144-168.

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  235. Order dynamics: Recent evidence from the NYSE. (2007). Jain, Pankaj ; Ellul, Andrew ; Jennings, Robert ; Holden, Craig W..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:14:y:2007:i:5:p:636-661.

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  236. Order Imbalance and Its Impact on Market Performance: Order‐driven vs. Quote‐driven Markets. (2007). Huang, Yu Chuan ; Yu Chuan Huang, ; Chou, Jianhsin.
    In: Journal of Business Finance & Accounting.
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  237. Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?. (2007). Lo, Ingrid ; Sapp, Stephen G..
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  238. Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets. (2007). Potters, Marc ; Bouchaud, Jean-Philippe ; Vettorazzo, Michele ; Wyart, Matthieu ; Kockelkoren, Julien .
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  239. Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets. (2006). Potters, Marc ; Bouchaud, Jean-Philippe ; Vettorazzo, Michele ; Wyart, Matthieu ; Kockelkoren, Julien .
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  240. Liquidity, cost of capital and the organization of trading in stock markets. (2006). Foucault, Thierry.
    In: Revue d'Économie Financière.
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  241. Liquidité, coût du capital et organisation de la négociation des valeurs boursières. (2006). Foucault, Thierry.
    In: Revue d'Économie Financière.
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  242. The Venezuelan Overnight Fund Market: Understanding a Credit Constraint Limit Order Market. (2006). Pagliacci, Carolina.
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  243. A Market-Clearing Role for Inefficiency on a Limit Order Book. (2006). Large, Jeremy.
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  244. Does the Open Limit Order Book Reveal Information About Short-run Stock Price Movements?. (2006). Hellstrom, Jorgen ; Simonsen, Ola.
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  245. Price Discovery in Currency Markets. (2006). Osler, Carol ; Menkhoff, Lukas ; Mende, Alexander.
    In: Hannover Economic Papers (HEP).
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  246. One minute in the life of the DM/US$: Public news in an electronic market. (2006). Carlson, John A. ; Lo, Melody.
    In: Journal of International Money and Finance.
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  247. Does the open limit order book matter in explaining long run volatility ?. (2006). Veredas, David ; PASCUAL, ROBERTO.
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  248. Optimal Trading Strategy and Supply/Demand Dynamics. (2005). Obizhaeva, Anna ; Wang, Jiang.
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  249. LIQUIDITY AND INFORMATION AROUND ANNUAL EARNINGS ANNOUNCEMENTS: AN INTRADAY ANALYSIS OF THE SPANISH STOCK MARKET. (2005). Abad, David ; Sanabria, Sonia ; Yague, Jose.
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  250. Order Submission Strategies and Information: Empirical Evidence from the NYSE. (2005). Beber, Alessandro ; Caglio, Cecilia.
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  251. The make or take decision in an electronic market: Evidence on the evolution of liquidity. (2005). Saar, Gideon ; Bloomfield, Robert ; O'Hara, Maureen .
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  252. Liquidity commonality and return co-movement. (2005). Domowitz, Ian ; Hansch, Oliver ; Wang, Xiaoxin .
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  253. Should securities markets be transparent?. (2005). Porter, David ; Madhavan, Ananth ; Weaver, Daniel.
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  254. Market microstructure: A survey of microfoundations, empirical results, and policy implications. (2005). Biais, Bruno ; Spatt, Chester ; Glosten, Larry .
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  255. The speed of limit order execution in the Spanish stock exchange. (2005). Gava, Luana.
    In: DEE - Working Papers. Business Economics. WB.
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  256. Volatility regimes and the provision of liquidity in order book markets. (2005). Giot, Pierre ; Durré, Alain ; Durre, Alain ; BELTRAN, Helena .
    In: CORE Discussion Papers.
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  257. Price Movement Effects on the State of the Electronic Limit‐Order Book. (2005). Chan, Yue-Cheong .
    In: The Financial Review.
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  258. Order Submission: The Choice between Limit and Market Orders. (2005). Lo, Ingrid ; Sapp, Stephen G..
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  259. What really causes large price changes?. (2004). Farmer, J. ; Sen, Anindya ; Mike, Szabolcs ; Gillemot, Laszlo ; Lillo, Fabrizio.
    In: Quantitative Finance.
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  260. Cancellation and uncertainty aversion on limit order books. (2004). Large, Jeremy .
    In: Economics Series Working Papers.
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  261. Cancellation and Uncertainty Aversion on Limit Order Books. (2004). Large, Jeremy.
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  262. How does liquidity react to stress periods in a limit order market?. (2004). Giot, Pierre ; Durré, Alain ; BELTRAN, Helena .
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  263. Order Aggressiveness and Order Book Dynamics. (2004). Hall, Anthony ; Hautsch, Nikolaus.
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  264. Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications. (2004). Biais, Bruno ; Spatt, Chester ; Glosten, Larry .
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  265. Determinants of the decision to submit market or limit orders on the ASX. (2004). Ng, Hock Guan ; Ching, Simon ; Verhoeven, Peter .
    In: Pacific-Basin Finance Journal.
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  266. Informed trading and order type. (2004). Cooney, John Jr., ; Sias, Richard W..
    In: Journal of Banking & Finance.
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  267. Order aggressiveness in limit order book markets. (2004). Ranaldo, Angelo.
    In: Journal of Financial Markets.
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  268. Asset return dynamics and the FX risk premium in a decentralized dealer market. (2004). Derviz, Alexis.
    In: European Economic Review.
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  269. High-Frequency Principal Components and Evolution of Liquidity in a Limit Order Market. (2004). Tyurin, Konstantin.
    In: Econometric Society 2004 North American Summer Meetings.
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  270. Understanding limit order book depth: conditioning on trade informativeness. (2004). Menkveld, Albert ; BELTRAN, Helena .
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  271. What pieces of limit order book information are informative ?. (2004). Veredas, David ; PASCUAL, ROBERTO.
    In: CORE Discussion Papers.
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  272. CROSS-LISTING, PRICE DISCOVERY AND THE INFORMATIVENESS OF THE TRADING PROCESS. (2003). PASCUAL, ROBERTO ; Pascual-Fuster, Bartolomé ; Climent, Francisco.
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  273. Limit Order Book as a Market for Liquidity. (2003). Kandel, Eugene ; Foucault, Thierry ; Kadan, Ohad.
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  274. A comprehensive test of order choice theory: recent evidence from the NYSE. (2003). Jain, Pankaj ; Ellul, Andrew ; Jennings, Robert ; Holden, Craig W..
    In: LSE Research Online Documents on Economics.
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  275. How free are free trading options?. (2003). Sawyer, K. R. ; Liu, Wai-Man.
    In: Pacific-Basin Finance Journal.
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  276. Equity trading by institutional investors: Evidence on order submission strategies. (2003). Skjeltorp, Johannes ; Næs, Randi.
    In: Journal of Banking & Finance.
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  277. Traders choice between limit and market orders: evidence from NYSE stocks. (2003). Jang, Hasung ; Park, Kyung Suh ; Bae, Kee-Hong .
    In: Journal of Financial Markets.
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  278. Quote setting and price formation in an order driven market. (2003). Tiwari, Ashish ; Schwartz, Robert ; Handa, Puneet.
    In: Journal of Financial Markets.
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  279. FOREX Microstructure, Invisible Price Determinants,and the Central Banks Understanding of Exchange Rate Formation. (2003). Derviz, Alexis.
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  282. Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis. (2003). Osler, Carol.
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  283. Aggressive Orders and the Resiliency of a Limit Order Market. (2002). Degryse, Hans ; Wuyts, G ; Van Ravenswaaij, M ; de Jong, F. C. J. M., .
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  285. The components of the bid-ask spread in a limit-order market: evidence from the Tokyo Stock Exchange. (2002). Hamao, Yasushi ; Ahn, Hee-Joon ; Cai, Jun ; Ho, Richard Y. K., .
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  286. Liquidity Supply and Demand in Limit Order Markets. (2002). Slive, Joshua ; Hollifield, Burton ; Miller, Robert A. ; Sands, Patrik .
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  287. Limit order book as a market for liquidity. (2001). Kandel, Eugene ; Foucault, Thierry ; Kadan, Ohad.
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  288. Empirical Analysis of Limit Order Markets. (2001). Hollifield, Burton ; Sands, Patrik ; Miller, Robert.
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  289. Overview: market structure issues in market liquidity. (2001). O'Hara, Maureen .
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  290. Market microstructure: A survey. (2000). Madhavan, Ananth.
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  291. An Empirical Analysis of Limit Order Markets. (1999). Hollifield, Burton ; Sandas, Patrik ; Miller, Robert A..
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