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Order aggressiveness in limit order book markets · Study

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ArticleOrder aggressiveness in limit order book markets

Angelo Ranaldo2002

Article2002

Order aggressiveness in limit order book markets

409 citations·0/0 files stored·Journal of Financial Markets

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 409 citations exist upstream.

References

1988A Theory of Intraday Patterns: Volume and Price Variability 1992Time and the Process of Security Price Adjustment 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 1999Order flow composition and trading costs in a dynamic limit order market 1994Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes 1998Price Dynamics in Limit Order Markets

Cited by

2009Optimal execution strategies in limit order books with general shape functions 2013Limit order books 2008Technology and liquidity provision: The blurring of traditional definitions 2008The information content of an open limit‐order book 2004Empirical Analysis of Limit Order Markets 2007Informed and Strategic Order Flow in the Bond Markets 2005Optimal Trading Strategy and Supply/Demand Dynamics 2008Limit Order Markets: A Survey

Details

Year2002

Typearticle

Published2002-12-03

VenueJournal of Financial Markets

ISSN-L1386-4181

Languageen

Citations409

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.1016/s1386-4181(02)00069-1

openalex_workW2136390480

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