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

Download paper

   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.

null

@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 =     {ssrn.com/abstract=276541},
 }

Endogenous risk
Real trading patterns and prices in spot foreign exchange markets
Risk research
Jon Danielson's research papers on systemic risk, artificial intelligence, risk forecasting, financial regulations and crypto currencies.
© All rights reserved, Jon Danielsson,