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Liquidity in an Automated Auction · Study

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PreprintLiquidity in an Automated Auction

Mark T. Coppejans2002

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Preprintgreen2002

Liquidity in an Automated Auction

Mark T. Coppejans · Ian H. Domowitz · Ananth Madhavan

68 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1986Asset pricing and the bid-ask spread 1988A Theory of Intraday Patterns: Volume and Price Variability 1988Herd Behavior and Investment 1987The Relation Between Price Changes and Trading Volume: A Survey 1991Measuring the Information Content of Stock Trades 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns 1995Market microstructure theory 1992Stock Prices and Volume

Cited by

2013Liquidity Dynamics in an Electronic Open Limit Order Book: an Event Study Approach 2014Reprint of: Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality 2004Zooming in on Liquidity 2006Dynamics of Market Liquidity of Tunisian Stocks: An Analysis of Market Resiliency 2005Optimal Trading Strategy and Supply/Demand Dynamics

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2004Resiliency in an Automated Auctionarticle · 23 shared references 2003Chapter 17 Microstructure and asset pricingchapter · 15 shared references 1997High frequency data in financial markets: Issues and applicationsarticle · 12 shared references 2013Market Liquidity—Theory and Empirical Evidencechapter · 10 shared references 2003Market Microstructurechapter · 10 shared references 2000Market microstructure: A surveyarticle · 9 shared references

Details

Year2002

Typepreprint

Published2002-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations68

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.295765

openalex_workW1554531422

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