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Limit Order Book as a Market for Liquidity
Language: en
Pages: 76
Authors: Thierry Foucault
Categories: Liquidity (Economics)
Type: BOOK - Published: 2001 - Publisher:

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Limit Order Books
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Type: BOOK - Published: 2016-05-09 - Publisher: Cambridge University Press

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A limit order book is essentially a file on a computer that contains all orders sent to the market, along with their characteristics such as the sign of the ord
Market Microstructure Theory
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Written by one of the leading authorities in market microstructure research, this book provides a comprehensive guide to the theoretical work in this important
Market Liquidity
Language: en
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"The process by which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical
High Frequency Trading and Limit Order Book Dynamics
Language: en
Pages: 377
Authors: Ingmar Nolte
Categories: Business & Economics
Type: BOOK - Published: 2016-04-14 - Publisher: Routledge

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This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address cri