Measuring and explaining liquidity on an electronic limit order book: Evidence from {Reuters} {D}2000-2
Download paperDanielsson, J. and R. Payne (2002). Measuring and explaining liquidity on an electronic limit order book: Evidence from Reuters D2000-2. In Proceedings of the Third Joint Central Bank Conference on Risk Measurement and Systemic Risk. Bank of International Settlements.
@inproceedings{DanielssonPayne2002b, AUTHOR = {J{\'o}n Dan{\'i}elsson and Richard Payne}, title = {Measuring and explaining liquidity on an electronic limit order book: Evidence from {Reuters} {D}2000-2}, year = {2002}, booktitle={Proceedings of the Third Joint Central Bank Conference on Risk Measurement and Systemic Risk}, url={https://ssrn.com/abstract=276541}, organization={Bank of International Settlements}, }
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