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Quote setting and price formation in an order driven market · Study

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ArticleQuote setting and price formation in an order driven market

Puneet Handa2002

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Articlegreen2002

Quote setting and price formation in an order driven market

Puneet Handa · Robert Arthur Schwartz · Ashish Tiwari

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

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Financial Markets and Investment Strategies Stochastic processes and financial applications Economic theories and models

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References

1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1998Investor Psychology and Security Market Under‐ and Overreactions 1987Price, trade size, and information in securities markets 1998Volume, Volatility, Price, and Profit When All Traders Are Above Average 1983Information Effects on the Bid-Ask Spread 1993Differences of Opinion Make a Horse Race 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS 1981Optimal dealer pricing under transactions and return uncertainty

Cited by

2008Limit Order Markets: A Survey 2016Dark pool trading strategies, market quality and welfare 2007Hide-and-Seek in the Market: Placing and Detecting Hidden Orders 2013Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks 2002Liquidity, Transaction Costs, and Reintermediation in Electronic Markets 2005Order aggressiveness and order book dynamics

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2005Market microstructure: A survey of microfoundations, empirical results, and policy implicationsarticle · 13 shared references 2008Technology and liquidity provision: The blurring of traditional definitionsarticle · 12 shared references 2002The components of the bid–ask spread in a limit-order market: evidence from the Tokyo Stock Exchangearticle · 12 shared references 2013Market Liquidity—Theory and Empirical Evidencechapter · 12 shared references 2012Market Liquidity -- Theory and Empirical Evidencereport · 12 shared references 1999Symposium on Market Microstructure: A Review of Empirical Researcharticle · 12 shared references

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Year2002

Typearticle

Published2002-10-30

VenueJournal of Financial Markets

ISSN-L1386-4181

Languageen

Citations216

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/s1386-4181(02)00041-1

openalex_workW3124639628

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2014The Provision of Liquidity by High‐Frequency Participants

2007Modelling the buy and sell intensity in a limit order book market