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Limit Orders, Depth, and Volatility · Study

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PreprintLimit Orders, Depth, and Volatility

Hee‐Joon Ahn1999

OA

Preprintgreen1999

Limit Orders, Depth, and Volatility

Hee‐Joon Ahn · Kee‐Hong Bae · Kalok Chan

25 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

1991Inferring Trade Direction from Intraday Data 1988A Theory of Intraday Patterns: Volume and Price Variability 1995Market microstructure theory 1996Market Microstructure Theory.1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse 1994Is the Electronic Open Limit Order Book Inevitable?1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis 1994Transactions, Volume, and Volatility

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2001Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kongarticle · 14 shared references 2010Order aggressiveness and quantity: How are they determined in a limit order market?article · 12 shared references 2008Limit Order Markets: A Surveychapter · 11 shared references 2002The components of the bid–ask spread in a limit-order market: evidence from the Tokyo Stock Exchangearticle · 11 shared references 2001Limit Order Book as a Market for Liquiditypreprint · 11 shared references 2001Measuring and Explaining Liquidity on an Electronic Limit Order Book: Evidence from Reuters D2000-2preprint · 11 shared references

Details

Year1999

Typepreprint

Published1999-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations25

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.170358

openalex_workW1664294276

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