Measuring and explaining liquidity on an electronic limit order book: Evidence from Reuters D2000-2

   Daníelsson, 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.

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@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,
 url =     {RiskResearch.org},
}