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Sub-Penny and Queue-Jumping · Study

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PreprintSub-Penny and Queue-Jumping

Sabrina Buti2013

OA

Preprintgreen2013

Sub-Penny and Queue-Jumping

Sabrina Buti · Francesco Consonni · Barbara Rindi · Yuanji Wen · Ingrid M. Werner

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

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Financial Markets and Investment Strategies Stochastic processes and financial applications Securities Regulation and Market Practices

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References

1991Inferring Trade Direction from Intraday Data 2014High-Frequency Trading and Price Discovery 2011Low-Latency Trading 1999Order flow composition and trading costs in a dynamic limit order market 2005Limit Order Book as a Market for Liquidity 1998Price Dynamics in Limit Order Markets 2009A Dynamic Model of the Limit Order Book 2003Trade Execution Costs and Market Quality after Decimalization

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Details

Year2013

Typepreprint

Published2013-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations26

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.2350424

openalex_workW1595300433

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