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Market Depth and Order Size · Study

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PreprintMarket Depth and Order Size

Olaf Korn1997

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Preprintgreen1997

Market Depth and Order Size

Olaf Korn · Alexander Kempf

34 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

1985Continuous Auctions and Insider Trading 1991Inferring Trade Direction from Intraday Data 1988Liquidity and Market Structure 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation 1992Stock Prices and Volume 1993Testing for neglected nonlinearity in time series models 1993Nonlinear Dynamic Structures 1988Liquidity and execution costs in equity markets

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2004Fluctuations and Response in Financial Markets: The Subtle Nature of 'Random' Price Changes

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1997Alternative Liquidity Measures and Stock Returnsarticle · 6 shared references 2004Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchangearticle · 5 shared references 2019Measuring the multi-faceted dimension of liquidity in financial markets: A literature reviewarticle · 5 shared references 2001Intraday market liquidity on the Swiss Stock Exchangearticle · 5 shared references 2002Order imbalance, liquidity, and market returnsarticle · 4 shared references 2001The High‐Volume Return Premiumarticle · 4 shared references

Details

Year1997

Typepreprint

Published1997-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations34

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.36092

openalex_workW1570395993

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