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The information content of a limit order book: The case of an FX market · Study

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ArticleThe information content of a limit order book: The case of an FX market

Roman Kozhan2011

Article2011

The information content of a limit order book: The case of an FX market

Roman Kozhan · Mark Howard Salmon

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

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Financial Markets and Investment Strategies Stochastic processes and financial applications Stock Market Forecasting Methods

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References

2004The Adaptive Markets Hypothesis 2011Does Algorithmic Trading Improve Liquidity?2006Tests of Conditional Predictive Ability 1994Is the Electronic Open Limit Order Book Inevitable?1999Using genetic algorithms to find technical trading rules 1966Filter Rules and Stock-Market Trading 1999Order flow composition and trading costs in a dynamic limit order market 1961Price Movements in Speculative Markets : Trends or Random Walks

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2011Technical Analysis in the Foreign Exchange Market

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2008Limit Order Markets: A Surveychapter · 14 shared references 2008What Pieces of Limit Order Book Information Matter in Explaining Order Choice by Patient and Impatient Traders?article · 13 shared references 2010Limit-order submission strategies under asymmetric informationarticle · 12 shared references 2011On the hidden side of liquidityarticle · 12 shared references 2009Does the Open Limit Order Book Matter in Explaining Informational Volatility?article · 12 shared references 2004The Informational Content of an Open Limit Order Bookpreprint · 11 shared references

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Year2011

Typearticle

Published2011-08-06

VenueJournal of Financial Markets

ISSN-L1386-4181

Languageen

Citations48

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.finmar.2011.07.002

openalex_workW3121978536

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