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Do buyers and sellers behave similarly in a limit order book? A high-frequency data examination of the Finnish stock exchange

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References

1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
1989Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests949 cited
1997The information content of the trading process364 cited
1990Liquidity of the CBOE Equity Options218 cited
1992A Comparison of Transaction Costs Between Competitive Market Maker and Specialist Market Structures82 cited
1988Potential Biases from Using Only Trade Prices of Related Securities on Different Exchanges: A Comment62 cited

Cited by

2008The Components of the Bid‐Ask Spread: the Case of the Athens Stock Exchange32 cited
2006How Investors Trade Around Interim Earnings Announcements32 cited
1999Characteristics of the order flow through an electronic open limit order book32 cited
2006Limit orders and the intraday behavior of market liquidity: Evidence from the Toronto stock exchange26 cited

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