An Analysis Of Order Submissions On The Xetra Trading System

An Analysis Of Order Submis s


Book Description


Using an innovative empirical methodology we analyze trading activity and liquidity supply in an open limit order book market and test a variety of ypotheses put forth by market microstructure theory. We study how the state of the limit order book, i.e. liquidity supply, as ell as price volatility nd limit order cancelations impact on future trading activity and identify those factors which explain liquidity supply




File Size: 1.781KB
File Type: PDF
Pages: 29

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