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On the Hidden Side of Liquidity · Study

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PreprintOn the Hidden Side of Liquidity

Ángel Pardo Tornero2003

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Preprintgreen2003

On the Hidden Side of Liquidity

Ángel Pardo Tornero · Roberto Pascual

23 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 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1983Information Effects on the Bid-Ask Spread 1991Measuring the Information Content of Stock Trades 1988Estimating the components of the bid/ask spread 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse 2000Market microstructure: A survey 1994Is the Electronic Open Limit Order Book Inevitable?

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2011On the hidden side of liquidityarticle · 33 shared references 2017Order Exposure in High Frequency Marketspreprint · 22 shared references 2009Does the Open Limit Order Book Matter in Explaining Informational Volatility?article · 18 shared references 2008Limit Order Markets: A Surveychapter · 15 shared references 2008What Pieces of Limit Order Book Information Matter in Explaining Order Choice by Patient and Impatient Traders?article · 14 shared references 2010Dark Pool Trading Strategies, Market Quality and Welfarepreprint · 13 shared references

Details

Year2003

Typepreprint

Published2003-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations23

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.459000

openalex_workW2019279488

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