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Liquidity Beyond the Best Quote: A Study of the NYSE Limit Order Book · Study

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PreprintLiquidity Beyond the Best Quote: A Study of the NYSE Limit Order Book

Wenjin Kang2006

OA

Preprintgreen2006

Liquidity Beyond the Best Quote: A Study of the NYSE Limit Order Book

Wenjin Kang · Wee Yong Yeo

24 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

1986Asset pricing and the bid-ask spread 1987Expected stock returns and volatility 1983Information Effects on the Bid-Ask Spread 2000Commonality in liquidity 2001Market Liquidity and Trading Activity 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse 1994Is the Electronic Open Limit Order Book Inevitable?

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2013Market Liquidity—Theory and Empirical Evidencechapter · 13 shared references 2014The Empirical Analysis of Liquidityarticle · 11 shared references 2012Illiquidity Premia in the Equity Options Marketpreprint · 11 shared references 2012Market Liquidity -- Theory and Empirical Evidencereport · 10 shared references 2013Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-qualityarticle · 9 shared references 2006Stock Market Declines and Liquiditypreprint · 9 shared references

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Year2006

Typepreprint

Published2006-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations24

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.888650

openalex_workW2135293299

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