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Zooming in on Liquidity · Study

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PreprintZooming in on Liquidity

Peter Gomber2004

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Preprintgreen2004

Zooming in on Liquidity

Peter Gomber · Uwe Schweickert · Erik Theissen

43 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse 1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis 2005Limit Order Book as a Market for Liquidity 1987The effect of large block transactions on security prices: A cross-sectional analysis 1996Earnings Announcements and the Components of the Bid-Ask Spread 1999Effects of Market Reform on the Trading Costs and Depths of Nasdaq Stocks 1986Information Asymmetry and the Dealer's Bid-Ask Spread: A Case Study of Earnings and Dividend Announcements 1990Liquidity , Trading Rules and Electronic Trading Systems .

Cited by

2005Liquidity supply and adverse selection in a pure limit order book market 2011Liquidity determination in an order-driven market 2011Competition in securities markets: the impact on liquidity 2011The Effect of Maker-Taker Pricing on Market Liquidity in Electronic Trading Systems – Empirical Evidence from European Equity Trading

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2013Liquidity Dynamics in an Electronic Open Limit Order Book: an Event Study Approacharticle · 11 shared references 2005Optimal Trading Strategy and Supply/Demand Dynamicspreprint · 6 shared references 2005Optimal Trading Strategy and Supply/Demand Dynamicsreport · 5 shared references 2000Prices, Liquidity, and the Information Content of Tradesarticle · 4 shared references 1999Symposium on Market Microstructure: A Review of Empirical Researcharticle · 4 shared references 2009Does the Open Limit Order Book Matter in Explaining Informational Volatility?article · 4 shared references

Details

Year2004

Typepreprint

Published2004-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations43

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.559406

openalex_workW85639745

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