Limit Order Book Dynamics and Asset Liquidity

Limit Order Book Dynamics and Asset Liquidity
Author: Georg Pristas
Publisher: Cuvillier Verlag
Total Pages: 163
Release: 2008
Genre:
ISBN: 386727679X


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Limit Order Book Dynamics and Asset Liquidity
Language: en
Pages: 163
Authors: Georg Pristas
Categories:
Type: BOOK - Published: 2008 - Publisher: Cuvillier Verlag

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Liquidity shocks and order book dynamics
Language: en
Pages: 51
Authors: Bruno Biais
Categories: Stocks
Type: BOOK - Published: 2009 - Publisher:

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We propose a dynamic competitive equilibrium model of limit order trading, based on the premise that investors cannot monitor markets continuously. We study how
High Frequency Trading and Limit Order Book Dynamics
Language: en
Pages: 325
Authors: Ingmar Nolte
Categories: Business & Economics
Type: BOOK - Published: 2016-04-14 - Publisher: Routledge

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This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address cri
Order Book Dynamics in the Presence of Liquidity Fluctuations
Language: en
Pages: 19
Authors: Helder Rojas
Categories:
Type: BOOK - Published: 2020 - Publisher:

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We propose a stochastic model for a limit order book with liquidity fluctuations. Our model shows how severe intermittencies in the liquidity affect the order b
Liquidity, Markets and Trading in Action
Language: en
Pages: 111
Authors: Deniz Ozenbas
Categories: Business enterprises
Type: BOOK - Published: 2022 - Publisher: Springer Nature

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This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to tradin