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Order flow composition and trading costs in a dynamic limit order market1. (1999). Foucault, Thierry.
In: Journal of Financial Markets.
RePEc:eee:finmar:v:2:y:1999:i:2:p:99-134.

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  9. Information and optimal trading strategies with dark pools. (2023). Manzano, Carolina ; Dumitrescu, Ariadna ; Bayona, Anna.
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  22. Tick Size and Price Reversal after Order Imbalance. (2021). Sirnes, Espen ; Hong, Minh Thi.
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  23. Two shades of opacity: Hidden orders and dark trading. (2021). Degryse, Hans ; Wuyts, Gunther ; Tombeur, Geoffrey ; Karagiannis, Nikolaos.
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  24. Who provides liquidity, and when?. (2021). Ye, Mao ; Wang, Xin ; Li, Sida.
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  26. The evolution of price discovery in an electronic market. (2021). Hjalmarsson, Erik ; Zikes, Filip ; Chaboud, Alain .
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  27. Broker routing decisions in limit order markets. (2021). Cimon, David A.
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  28. Informed liquidity provision in a limit order market. (2021). Malinova, Katya ; Brolley, Michael.
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  29. Is faster or slower trading better? An examination of order type execution speed and costs. (2021). Wu, Fei ; Huang, Tao ; Garvey, Ryan.
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  30. Liquidity and information asymmetry around unscheduled mining announcements. (2021). Yu, Chuan ; Sidhu, Baljit K ; Katselas, Dean.
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  31. Arbitrage opportunities, liquidity provision, and trader types in an index option market. (2020). Chiu, Junmao ; Chen, ChinHo ; Chung, Huimin.
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  32. Information versus imitation in a real-time agent-based model of financial markets. (2020). Biondo, Alessio Emanuele.
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  34. Which firms benefit from market making?. (2020). Kutsuna, Kenji ; Kim, Thomas S ; Chung, Peter Y ; Smith, Richard L.
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  38. The Evolution of Price Discovery in an Electronic Market. (2020). Hjalmarsson, Erik ; Zikes, Filip ; Chaboud, Alain P.
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  39. The impact of weather on order submissions and trading performance. (2020). Weng, Pei-Shih ; Tsai, Wei-Che ; Chuang, Yi-Wei.
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  40. Price discovery, order submission, and tick size during preopen period. (2020). Yamamoto, Ryuichi ; Xiao, Xijuan.
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  42. STOCK MARKET OPENNESS AND MARKET QUALITY: EVIDENCE FROM THE SHANGHAI–HONG KONG STOCK CONNECT PROGRAM. (2020). Zhang, Xuekui ; Xing, LI ; Pan, Deng ; Zheng, Xinwei ; Xu, KE.
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  45. Order book modeling and financial stability. (2019). Biondo, Alessio Emanuele.
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  47. Did long-memory of liquidity signal the European sovereign debt crisis?. (2019). Li, Youwei ; Yang, Y C ; Hamill, P A ; Sun, Z ; Vigne, S A.
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  48. Order dynamics during the flash crash. (2019). Zhang, Shaojun ; Hunsader, Kenneth J.
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  49. Who Provides Liquidity, and When?. (2019). Ye, Mao ; Wang, Xin ; Li, Sida.
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  50. Order Flow Persistence in Equity Spot and Futures Markets: Evidence from a Dynamic Emerging Market. (2019). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Corbet, Shaen ; Gulay, Guzhan ; Akyildirim, Erdinc.
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  52. Algorithmic and high frequency trading in Asia-Pacific, now and the future. (2019). Kalev, Petko S ; Zhou, Hao.
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  53. Speed and trading behavior in an order-driven market. (2019). Park, Seongkyu (Gilbert) ; Ryu, Doojin.
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  55. Trading aggressiveness, order execution quality, and stock price movements: Evidence from the Taiwan stock exchange. (2019). Lien, Donald ; Hung, Pi-Hsia .
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  56. Liquidity withdrawal in the FX spot market: A cross-country study using high-frequency data. (2019). Stenfors, Alexis ; Susai, Masayuki.
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  57. Make-take decisions under high-frequency trading competition. (2019). Bernales, Alejandro.
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  58. Do investors choose trade-size according to liquidity, empirical evidence from the S&P 500 index future market. (2019). Zhang, Rui ; Fu, Zhiming ; Yan, Xin ; Wu, Liang.
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  59. Information content of the limit order book for crude oil futures price volatility. (2019). Duong, Huu Nhan ; Tian, Xiao ; Kalev, Petko S.
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  60. Limit order books, uninformed traders and commodity derivatives: Insights from the European carbon futures. (2019). Rannou, Yves.
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  61. Priority Rules. (2019). Karagiannis, Nikolaos ; Degryse, Hans.
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  62. Order Protection through Delayed Messaging. (2019). Friedman, Daniel ; Aldrich, Eric M.
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  69. Order Aggressiveness and the Heating and Cooling-off Effects of Price Limits: Evidence from Taiwan Stock Exchange. (2018). Wang, Ming-Chang ; Hsin, Pei-Han ; Ding, Yu-Jia.
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  81. Liquidity Withdrawal in the FX Spot Market: A Cross-Country Study Using High-Frequency Data. (2017). Stenfors, Alexis ; Susai, Masayuki.
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  82. Algorithmic Trading Behaviour and High-Frequency Liquidity Withdrawal in the FX Spot Market. (2017). Stenfors, Alexis ; Susai, Masayuki.
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  85. Scheduled macro-news effects on a Euro/US dollar limit order book around the 2008 financial crisis. (2017). Welch, Robert ; Tao, Yusi ; ben Omrane, Walid.
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  86. Liquidity, information, strategic trading in an electronic order book: New insights from the European carbon markets. (2017). Rannou, Yves.
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  90. Endogenous Formation of Limit Order Books: Dynamics Between Trades. (2017). Nadtochiy, Sergey ; Gayduk, Roman .
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  91. Liquidity Effects of Trading Frequency. (2017). Gayduk, Roman ; Nadtochiy, Sergey.
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  92. The Dynamics of Ex-ante Weighted Spread: An Empirical Analysis. (2016). Dionne, Georges ; Zhou, Xiaozhou.
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  93. The Dynamics of Ex-ante High-Frequency Liquidity: An Empirical Analysis. (2016). Dionne, Georges ; Zhou, Xiaozhou .
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  94. Stepping out of the limit order book: Empirical evidence from the EBS FX market. (2016). Yoshida, Yushi ; Susai, Masayuki.
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  95. Tick Size Wars. (2016). Ødegaard, Bernt ; Meling, Tom Grimstvedt ; Odegaard, Bernt Arne .
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  96. Why do carbon prices and price volatility change?. (2016). Ibrahim, Boulis Maher ; Kalaitzoglou, Iordanis Angelos .
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  97. Pre-trade transparency and informed trading: Experimental evidence on undisclosed orders. (2016). Gozluklu, Arie E.
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  98. Information Asymmetry and Quarterly Disclosure Decisions by Firms: Evidence From the Tokyo Stock Exchange. (2016). Kubota, Keiichi ; Takehara, Hitoshi.
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  99. The Evolution of Informed Liquidity Provision: Evidence from an Order†driven Market. (2016). Wee, Marvin ; Yang, Joey W.
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  100. Broker Routing Decisions in Limit Order Markets. (2016). Cimon, David.
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  101. Essays in Market Microstructure and Investor Trading. (2015). Lo, Danny.
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  102. Essays in Market Microstructure and Investor Trading. (2015). Lo, Danny .
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  103. Information content of inter-transaction time: A structural approach. (2015). Ryu, Doojin.
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  104. Markets with random lifetimes and private values: mean reversion and option to trade. (2015). Plott, Charles ; Cvitanic, Jaksa ; Tseng, Chien-Yao .
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  105. Optimal trading of algorithmic orders in a liquidity fragmented market place. (2015). Kumaresan, Miles ; Kreji, Nataa.
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  106. Trading in Fragmented Markets. (2015). Baldauf, Markus ; Mollner, Joshua .
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  107. Mit veszítünk a piaci súrlódásokkal?. A pénzügyi piacok mikrostruktúrája. (2015). Havran, Dániel ; Erb, Tamas .
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  108. A Worldwide Examination of Exchange Market Quality: Greater Integrity Increases Market Efficiency. (2015). SHAN, JI ; Aitken, Michael ; Harris, Frederick ; Ji, Shan.
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    RePEc:kap:jbuset:v:132:y:2015:i:1:p:147-170.

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  109. Price Impact and the Recovery of the Limit Order Book: Why Should We Care About Informed Liquidity Providers?. (2015). Váradi, Kata ; Havran, Dániel ; Varadi, Kata .
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  110. Price dynamics and market liquidity: An intraday event study on Euronext. (2015). Mazza, Paolo.
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  111. Limit order book transparency and order aggressiveness at the closing call: Lessons from the TWSE 2012 new information disclosure mechanism. (2015). Chen, Shu-Heng ; Tseng, Yi-Heng.
    In: Pacific-Basin Finance Journal.
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  112. Trading rules, competition for order flow and market fragmentation. (2015). McInish, Thomas ; masulis, ronald ; Kwan, Amy.
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    RePEc:eee:jfinec:v:115:y:2015:i:2:p:330-348.

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  113. Information revelation in the Greek exchange opening call: Daily and intraday evidence. (2015). Kanas, Angelos ; Papachristou, George ; Anagnostidis, Panagiotis .
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  114. Trading costs on the Stock Exchange of Thailand. (2015). Jenwittayaroje, Nattawut ; Yang, Yung Chiang ; Ding, David K ; Charoenwong, Charlie .
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    RePEc:eee:finana:v:41:y:2015:i:c:p:31-40.

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  115. The impact of reduced pre-trade transparency regimes on market quality. (2015). Iori, Giulia ; Kovaleva, Polina .
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    RePEc:eee:dyncon:v:57:y:2015:i:c:p:145-162.

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  116. Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes. (2015). Yu, V ; Zeifman, A I ; Chertok, A V.
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    RePEc:eee:apmaco:v:253:y:2015:i:c:p:224-241.

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  117. Liquidity Dynamics in an Electronic Open Limit Order Book: an Event Study Approach. (2015). Theissen, Erik ; Schweickert, Uwe ; Gomber, Peter.
    In: European Financial Management.
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  118. Ergodicity and diffusivity of Markovian order book models: a general framework. (2015). Huang, Weibing ; Rosenbaum, Mathieu.
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  119. Do Dark Pools Harm Price Discovery?. (2014). Zhu, Haoxiang.
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  120. “Every move you make, every step you take, I’ll be watching you” – the quest for hidden orders in the interbank FX spot market. (2014). Bień-Barkowska, Katarzyna.
    In: Bank i Kredyt.
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  121. Capturing Order Book Dynamics in the Interbank EUR/PLN Spot Market. (2014). Bień-Barkowska, Katarzyna.
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    RePEc:mes:emfitr:v:50:y:2014:i:1:p:93-117.

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  122. Investors’ perception of corporate governance: a spillover effect of Taiwan corporate scandals. (2014). Fan, Whei-May ; Lee, Jie-Haun .
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  123. The causal impact of algorithmic trading on market quality. (2014). Thomas, Susan ; Aggarwal, Nidhi.
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  124. Dark Pool Trading Strategies, Market Quality and Welfare. (2014). Rindi, Barbara ; Werner, Ingrid M. ; Buti, Sabrina .
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  125. Relative Liquidity and Future Volatility. (2014). Zer, Ilknur ; Rheinlander, Thorsten ; Fryzlewicz, Piotr ; Valenzuela, Marcela.
    In: Finance and Economics Discussion Series.
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  126. A dynamic limit order market with fast and slow traders. (2014). Hoffmann, Peter.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:113:y:2014:i:1:p:156-169.

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  127. Speed, algorithmic trading, and market quality around macroeconomic news announcements. (2014). van Dijk, Dick ; Frijns, Bart ; Scholtus, Martin .
    In: Journal of Banking & Finance.
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  128. Anonymity and the Information Content of the Limit Order Book. (2014). Duong, Huu Nhan ; Kalev, Petko S..
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:30:y:2014:i:c:p:205-219.

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  129. Order choices under information asymmetry in foreign exchange markets. (2014). Gau, Yin-Feng ; Wu, Zhen-Xing .
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    RePEc:eee:intfin:v:30:y:2014:i:c:p:106-118.

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  130. Waiting costs and limit order book liquidity: Evidence from the ex-dividend deadline in Australia. (2014). Lee, Adrian ; Ainsworth, Andrew .
    In: Journal of Financial Markets.
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  131. An empirical analysis of non-execution and picking-off risks on the Tokyo Stock Exchange. (2014). Yamamoto, Ryuichi.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:29:y:2014:i:c:p:369-383.

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  132. The informational effect and market quality impact of upstairs trading and fleeting orders on the Australian Securities Exchange. (2014). Rose, Annica.
    In: Journal of Empirical Finance.
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  133. Individuals’ Trading Prior to Earnings Announcements. (2014). Tsai, Shih-Chuan.
    In: Journal of Business Finance & Accounting.
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  134. The Microstructure of Trading Processes on the Singapore Exchange. (2013). Murphy Jun Jie Lee, .
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  135. The Microstructure of Trading Processes on the Singapore Exchange. (2013). Jie, Murphy Jun.
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  136. Competition between stock exchanges and optimal trading. (2013). van Kervel, Vincent.
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  137. Limit order books. (2013). Fenn, Daniel J. ; Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark .
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  138. A dynamic limit order market with fast and slow traders. (2013). .
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  139. The Dynamic Properties of Financial-Market Equilibrium with Trading Fees. (2013). Buss, Adrian ; Dumas, Bernard.
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  140. The impact of transparency on market quality for the Taiwan Stock Exchange. (2013). Ke, Mei-Chu ; Huang, Yen-Sheng ; Liao, Tung Liang ; Wang, Ming-Hui.
    In: International Review of Economics & Finance.
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  141. Anonymity and order submissions. (2013). Duong, Huu Nhan ; Kalev, Petko S..
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:25:y:2013:i:c:p:101-118.

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  142. Undisclosed orders and optimal submission strategies in a limit order market. (2013). Rindi, Barbara ; Buti, Sabrina .
    In: Journal of Financial Economics.
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  143. Liquidity provision in a limit order book without adverse selection. (2013). Bayar, Onur.
    In: Journal of Economics and Business.
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  144. Competition, signaling and non-walking through the book: Effects on order choice. (2013). Zer, Ilknur ; Valenzuela, Marcela.
    In: Journal of Banking & Finance.
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  145. Low-latency trading. (2013). Saar, Gideon ; Hasbrouck, Joel .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:16:y:2013:i:4:p:646-679.

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  146. Optimal trading strategy and supply/demand dynamics. (2013). Obizhaeva, Anna ; Wang, Jiang.
    In: Journal of Financial Markets.
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  147. Market Liquidity—Theory and Empirical Evidence *. (2013). Vayanos, Dimitri ; Wang, Jiang.
    In: Handbook of the Economics of Finance.
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  148. Sub-Penny and Queue-Jumping. (2013). Rindi, Barbara ; Buti, Sabrina ; Werner, Ingrid M ; Consonni, Francesco .
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  149. A dynamic limit order market with fast and slow traders. (2013). Hoffmann, Peter.
    In: Working Paper Series.
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  150. Financial-market Equilibrium with Friction. (2013). Buss, Adrian ; Dumas, Bernard J.
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  151. Limited attention and news arrival in limit order markets.. (2013). Dugast, Jérôme.
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  152. Limit Order Books. (2013). Fenn, Daniel J. ; Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark .
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  153. On the dark side of the market: Identifying and analyzing hidden order placements. (2012). Hautsch, Nikolaus ; Huang, Ruihong.
    In: CFS Working Paper Series.
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  154. Internalization, Clearing and Settlement, and Liquidity. (2012). Degryse, Hans ; Wuyts, G ; van Achter, M.
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  155. Internalization, Clearing and Settlement, and Liquidity. (2012). Degryse, Hans ; Wuyts, G ; van Achter, M.
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  156. Internalization, Clearing and Settlement, and Liquidity. (2012). Degryse, Hans ; Wuyts, G ; van Achter, M.
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  157. Internalization, Clearing and Settlement, and Liquidity. (2012). Degryse, Hans ; Wuyts, G. ; Vanachter, M. ; van Achter, M..
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  158. Internalization, Clearing and Settlement, and Liquidity. (2012). Degryse, Hans ; Wuyts, G. ; Vanachter, M. ; van Achter, M..
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  159. Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements. (2012). van Dijk, Dick ; Frijns, Bart ; Scholtus, Martin L..
    In: Tinbergen Institute Discussion Papers.
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  160. Liquidity determination in an order-driven market. (2012). Payne, Richard ; Danielsson, Jon.
    In: The European Journal of Finance.
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  161. On the hidden side of liquidity. (2012). PASCUAL, ROBERTO ; Pardo, Angel .
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    RePEc:taf:eurjfi:v:18:y:2012:i:10:p:949-967.

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  162. A re-examination of the “zero is enough” hypothesis in the emergence of financial stylized facts. (2012). Waldeck, Roger ; Brandouy, Olivier ; Veryzhenko, Iryna ; Corelli, Angelo.
    In: Journal of Economic Interaction and Coordination.
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  163. Transact taxes in a price maker/taker market. (2012). Rosenthal, Dale ; Rosenthal, Dale W. R., ; Thomas, Nordia Diana Marie, .
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  164. A dynamic limit order market with fast and slow traders. (2012). Hoffmann, Peter.
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  165. Market Liquidity -- Theory and Empirical Evidence. (2012). Vayanos, Dimitri ; Wang, Jiang.
    In: NBER Working Papers.
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  166. Central bank interventions and limit order behavior in the foreign exchange market. (2012). Yoshida, Yushi ; Susai, Masayuki.
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  167. On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements. (2012). Huang, Ruihong ; Hautsch, Nikolaus.
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  168. Market Liquidity - Theory and Empirical Evidence. (2012). Vayanos, Dimitri ; Wang, Jiang.
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  169. Technical analyses and order submission behaviors: Evidence from an emerging market. (2012). Chiao, Chaoshin ; Wang, Zi-Mei ; Chang, Ya-Ting.
    In: International Review of Economics & Finance.
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  170. The effect of a closing call auction on market quality and trading strategies. (2012). Rindi, Barbara ; Kandel, Eugene ; Bosetti, Luisella .
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  171. The information content of a limit order book: The case of an FX market. (2012). Kozhan, Roman ; Salmon, Mark .
    In: Journal of Financial Markets.
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  172. Optimal Trading Strategies in a Limit Order Market with Imperfect Liquidity. (2012). Iori, Giulia ; Kovaleva, P..
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  173. Internalization, Clearing and Settlement, and Liquidity. (2012). Degryse, Hans ; Wuyts, Gunther ; Van Achter, Mark .
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  174. Limit order books and trade informativeness. (2011). Menkveld, Albert ; Grammig, Joachim G. ; BELTRAN-LOPEZ, Helena .
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  175. Time and the price impact of a trade: A structural approach. (2011). Theissen, Erik ; Wunsche, Oliver ; Grammig, Joachim G..
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  176. Fertility Responses to Prevention of Mother-to-Child Transmission of HIV. (2011). Wilson, Nicholas ; Osler, Carol ; Nguyen, Thang .
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  177. Optimal trading in a limit order book using linear strategies.. (2011). Pellizzari, Paolo.
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  178. Time-dependent trading strategies in a continuous double auction. (2011). Pellizzari, Paolo ; Fano, Shira.
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  179. How to Compute the Liquidity Cost in the Orders-Driven Market?. (2011). Negrea, Bogdan.
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  180. Multistate asymmetric ACD model: an application to order dynamics in the EUR/PLN spot market. (2011). Bień-Barkowska, Katarzyna.
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  181. Price discovery in currency markets. (2011). Menkhoff, Lukas ; Mende, Alexander ; Osler, Carol L..
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  182. Exchange rate response to macronews: Through the lens of microstructure. (2011). Savaser, Tanseli.
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  183. Markets change every day: Evidence from the memory of trade direction. (2011). Axioglou, Christos ; Skouras, Spyros .
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  184. A model of bank lending in the global financial crisis and the case of Korea. (2011). Romeu, Rafael ; Leony, Larissa .
    In: Journal of Asian Economics.
    RePEc:eee:asieco:v:22:y:2011:i:4:p:322-334.

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  185. Impact des rachats d’actions sur la liquidité et la rentabilité des actions. (2011). Brunel, Alexandre .
    In: Economics Thesis from University Paris Dauphine.
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  186. Distribution Choice for the Asymmetric ACD Models. (2011). Bień-Barkowska, Katarzyna.
    In: Dynamic Econometric Models.
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  187. Belief Dispersion and Order Submission Strategies in the Foreign Exchange Market. (2011). Lo, Ingrid ; Sapp, Stephen .
    In: Staff Working Papers.
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  188. Liquidity and Efficiency During Unusual Market Conditions: An Analysis of Short Selling Restrictions and Expiration-Day Procedures on the London Stock Exchange. (2010). Clifton, Matthew .
    In: PhD Thesis.
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  189. Hidden Limit Orders and Liquidity in Order Driven Markets. (2010). Moinas, Sophie.
    In: TSE Working Papers.
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  190. Does the Open Limit Order Book Matter in Explaining Informational Volatility?. (2010). Veredas, David ; PASCUAL, ROBERTO.
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:8:y:2010:i:1:p:57-87.

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  191. Trading strategies and trading profits in experimental asset markets with cumulative information. (2010). Kirchler, Michael ; Stockl, Thomas.
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  192. Imperfect Competition in Financial Markets: An Empirical Study of Island and Nasdaq. (2010). BISIÈRE, Christophe ; Biais, Bruno ; Spatt, Chester.
    In: Management Science.
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  193. Hidden Limit Orders and Liquidity in Order Driven Markets. (2010). Moinas, Sophie.
    In: IDEI Working Papers.
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  194. Limit Orders, Trading Activity, and Transactions Costs in Equity Futures in an Electronic Trading Environment. (2010). Switzer, Lorne ; Fan, Haibo .
    In: International Econometric Review (IER).
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  195. International order flows: Explaining equity and exchange rate returns. (2010). Moore, Michael ; Hau, Harald ; Dunne, Peter.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:29:y:2010:i:2:p:358-386.

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  196. Limit order revisions. (2010). Fong, Kingsley Y. L., ; Liu, Wai-Man.
    In: Journal of Banking & Finance.
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  197. Limit-order submission strategies under asymmetric information. (2010). Schmeling, Maik ; Osler, Carol ; Menkhoff, Lukas.
    In: Journal of Banking & Finance.
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  198. Order aggressiveness and quantity: How are they determined in a limit order market?. (2010). Lo, Ingrid ; Sapp, Stephen G..
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:20:y:2010:i:3:p:213-237.

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  199. Market makers as information providers: The natural experiment of STAR. (2010). Rindi, Barbara ; Perotti, Pietro.
    In: Journal of Empirical Finance.
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  200. Order aggressiveness as a metric to assess the usefulness of accounting information. (2010). Perotti, Pietro.
    In: The International Journal of Accounting.
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  201. Limit-Order Submission Strategies under Asymmetric Information. (2010). Schmeling, Maik ; Osler, Carol ; Menkhoff, Lukas.
    In: CESifo Working Paper Series.
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  202. Price Discovery in Currency Markets. (2010). Osler, Carol ; Menkhoff, Lukas ; Mende, Alexander .
    In: Working Papers.
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  203. Electronic limit order book and order submission choice around macroeconomic news. (2009). Lasser, Dennis ; Erenburg, Grigori .
    In: Review of Financial Economics.
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  204. Liquidity Shocks and Order Book Dynamics. (2009). Weill, Pierre-Olivier ; Biais, Bruno.
    In: TSE Working Papers.
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  205. Liquidity, Volume, and Price Behavior: The Impact of Order vs. Quote Based Trading. (2009). Park, Andreas ; Malinova, Katya.
    In: Working Papers.
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  206. Diffusive behavior and the modeling of characteristic times in limit order executions. (2009). Mantegna, Rosario ; Lillo, Fabrizio ; Eisler, Zoltan ; Kertesz, Janos.
    In: Quantitative Finance.
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  207. What pieces of limit order book information matter in explaining order choice by patient and impatient traders?. (2009). Veredas, David ; PASCUAL, ROBERTO.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:9:y:2009:i:5:p:527-545.

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  208. A Dynamic Model of the Limit Order Book. (2009). Rosu, Ioanid.
    In: Review of Financial Studies.
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  209. Liquidity Shocks and Order Book Dynamics. (2009). Weill, Pierre-Olivier ; Biais, Bruno.
    In: NBER Working Papers.
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  210. Liquidity Shocks and Order Book Dynamics. (2009). Weill, Pierre-Olivier ; Biais, Bruno.
    In: IDEI Working Papers.
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  211. A Dynamic Model of the Limit Order Book. (2009). Rosu, Ioanid.
    In: Post-Print.
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  212. Electronic limit order book and order submission choice around macroeconomic news. (2009). Lasser, Dennis ; Erenburg, Grigori .
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:18:y:2009:i:4:p:172-182.

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  213. Order aggressiveness of institutional and individual investors. (2009). Krishnamurti, Chandrasekhar ; Duong, Huu Nhan ; Kalev, Petko S..
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:17:y:2009:i:5:p:533-546.

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  214. Hidden liquidity: An analysis of order exposure strategies in electronic stock markets. (2009). Bessembinder, Hendrik ; Panayides, Marios ; Venkataraman, Kumar.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:94:y:2009:i:3:p:361-383.

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  215. Informed traders and limit order markets. (2009). Parlour, Christine A. ; Rajan, Uday ; Goettler, Ronald L..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:93:y:2009:i:1:p:67-87.

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  216. Dynamic order submission strategies with competition between a dealer market and a crossing network. (2009). Degryse, Hans ; Wuyts, Gunther ; Van Achter, Mark .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:91:y:2009:i:3:p:319-338.

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  217. A market-clearing role for inefficiency on a limit order book. (2009). Large, Jeremy.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:91:y:2009:i:1:p:102-117.

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  218. Volatility regimes and order book liquidity: Evidence from the Belgian segment of Euronext. (2009). Giot, Pierre ; Durré, Alain ; Durre, Alain ; BELTRAN, Helena .
    In: Global Finance Journal.
    RePEc:eee:glofin:v:20:y:2009:i:1:p:80-97.

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  219. Technology and liquidity provision: The blurring of traditional definitions. (2009). Saar, Gideon ; Hasbrouck, Joel .
    In: Journal of Financial Markets.
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  220. Monitoring and limit order submission risks. (2009). Liu, Wai-Man.
    In: Journal of Financial Markets.
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  221. Do stylised facts of order book markets need strategic behaviour?. (2009). Schenk-Hoppé, Klaus ; Ladley, Daniel ; Schenk-Hoppe, Klaus Reiner.
    In: Journal of Economic Dynamics and Control.
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  222. Measuring Investors Opinion Divergence. (2009). Garfinkel, Jon A..
    In: Journal of Accounting Research.
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  223. Market Sidedness: Insights into Motives for Trade Initiation. (2009). Sarkar, Asani ; Schwartz, Robert A..
    In: Journal of Finance.
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  224. Liquidity Provision of Limit Order Trading in the Futures Market Under Bull and Bear Markets. (2009). Lin, Tsaiyin ; Chiang, Minhsien ; Yu, Chihhsien Jerry.
    In: Journal of Business Finance & Accounting.
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  225. Liquidity Provision of Limit Order Trading in the Futures Market Under Bull and Bear Markets. (2009). YU, CHIH-HSIEN JERRY ; Lin, Tsai-Yin ; Chiang, Min-Hsien .
    In: Journal of Business Finance & Accounting.
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  226. Dynamic limit order market with diversity in trading horizons. (2008). Van Achter, Mark .
    In: CFS Working Paper Series.
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  227. Pro-rata matching and one-tick futures markets. (2008). Large, Jeremy ; Field, Jonathan .
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  228. Relation between bid-ask spread, impact and volatility in order-driven markets. (2008). Potters, Marc ; Bouchaud, Jean-Philippe ; Vettorazzo, Michele ; Wyart, Matthieu ; Kockelkoren, Julien .
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    RePEc:taf:quantf:v:8:y:2008:i:1:p:41-57.

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  229. Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk. (2008). Lehmann, Bruce .
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  230. Order Dynamics in the Italian Treasury Security Wholesale Secondary Market. (2008). Coluzzi, Chiara ; Ginebri, Sergio .
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  231. Liquidity on the Scandinavian Order-driven Stock Exchanges. (2008). Soderberg, Jonas .
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  232. Opening and Closing Asymmetry: Empirical Analysis from ISE Xetra. (2008). Kelly, Robert.
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  233. The submission of limit orders or market orders: The role of timing and information in the Reuters D2000-2 system. (2008). Lo, Ingrid ; Sapp, Stephen G..
    In: Journal of International Money and Finance.
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  234. Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model. (2008). Hautsch, Nikolaus.
    In: Journal of Economic Dynamics and Control.
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  235. Short-run Exchange-rate Dynamics: Theory And Evidence. (2008). Dahl, Christian ; Osler, Carol L. ; Carlson, John A..
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  236. Financial analysts and price discovery. (2008). McInish, Thomas ; Aitken, Michael ; Frederick H. deB. Harris, ; Almeida, Niall ; Frederick H. deB. Harris, .
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  237. Short-run Exchange-Rate Dynamics: Theory and Evidence. (2008). Osler, Carol ; Dahl, Christian ; Carlson, John A.
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  238. Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model. (2007). Hautsch, Nikolaus.
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  239. Time and price impact of a trade: A structural approach. (2007). Theissen, Erik ; Wuensche, Oliver ; Grammig, Joachim.
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  240. Exchange Rate Response to Macro News: Through the Lens of Microstructure. (2007). Savaser, Tanseli.
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  241. Dynamic Order Submission Strategies with Competition between a Dealer Market and a Crossing Network. (2007). Degryse, Hans ; Wuyts, G ; van Achter, M.
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  242. Dynamic Order Submission Strategies with Competition between a Dealer Market and a Crossing Network. (2007). Degryse, Hans ; Wuyts, G. ; Vanachter, M. ; van Achter, M..
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  243. Trading Activity, Trade Costs and Informed Trading for Acquisition Targets and Acquirers. (2007). Kryzanowski, Lawrence ; Lazrak, Skander.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:13:y:2007:i:5:p:405-439.

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  244. Dynamic order submission strategies with competition between a dealer market and a crossing network. (2007). Degryse, Hans ; Wuyts, Gunther ; Van Achter, Mark .
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  245. Modeling Electronic FX Brokerage as a Fast Order-Driven Marketunder Heterogeneous Private Values and Information. (2007). Derviz, Alexis.
    In: Working Papers IES.
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  246. Stock Market Liquidity.Determinants and Implications. (2007). Wuyts, G.
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  247. Limit orders and the intraday behavior of market liquidity: Evidence from the Toronto stock exchange. (2007). Vo, Minh T..
    In: Global Finance Journal.
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  248. Modelling the buy and sell intensity in a limit order book market. (2007). Hall, Anthony ; Hautsch, Nikolaus.
    In: Journal of Financial Markets.
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  249. Liquidity supply in electronic markets. (2007). McInish, Thomas ; Aitken, Michael ; deB. Harris, Frederick H., ; Almeida, Niall.
    In: Journal of Financial Markets.
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  250. Order dynamics: Recent evidence from the NYSE. (2007). Jain, Pankaj ; Ellul, Andrew ; Jennings, Robert ; Holden, Craig W..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:14:y:2007:i:5:p:636-661.

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  251. Order Imbalance and Its Impact on Market Performance: Order‐driven vs. Quote‐driven Markets. (2007). Huang, Yu Chuan ; Yu Chuan Huang, ; Chou, Jianhsin.
    In: Journal of Business Finance & Accounting.
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  252. Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?. (2007). Lo, Ingrid ; Sapp, Stephen G..
    In: Staff Working Papers.
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  253. Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets. (2007). Potters, Marc ; Bouchaud, Jean-Philippe ; Vettorazzo, Michele ; Wyart, Matthieu ; Kockelkoren, Julien .
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  254. Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets. (2006). Potters, Marc ; Bouchaud, Jean-Philippe ; Vettorazzo, Michele ; Wyart, Matthieu ; Kockelkoren, Julien .
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  255. Liquidity, cost of capital and the organization of trading in stock markets. (2006). Foucault, Thierry.
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  256. Liquidité, coût du capital et organisation de la négociation des valeurs boursières. (2006). Foucault, Thierry.
    In: Revue d'Économie Financière.
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  257. The Venezuelan Overnight Fund Market: Understanding a Credit Constraint Limit Order Market. (2006). Pagliacci, Carolina.
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  258. A Market-Clearing Role for Inefficiency on a Limit Order Book. (2006). Large, Jeremy .
    In: Economics Series Working Papers.
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  259. A Market-Clearing Role for Inefficiency on a Limit Order Book. (2006). Large, Jeremy.
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  260. Does the Open Limit Order Book Reveal Information About Short-run Stock Price Movements?. (2006). Hellstrom, Jorgen ; Simonsen, Ola.
    In: Umeå Economic Studies.
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  261. Price Discovery in Currency Markets. (2006). Osler, Carol ; Menkhoff, Lukas ; Mende, Alexander.
    In: Hannover Economic Papers (HEP).
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  262. One minute in the life of the DM/US$: Public news in an electronic market. (2006). Carlson, John A. ; Lo, Melody.
    In: Journal of International Money and Finance.
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  263. Does the open limit order book matter in explaining long run volatility ?. (2006). Veredas, David ; PASCUAL, ROBERTO.
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  264. Understanding the limit order book: Conditioning on trade informativeness. (2005). Menkveld, Albert ; Grammig, Joachim ; BELTRAN, Helena .
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  265. Optimal Trading Strategy and Supply/Demand Dynamics. (2005). Obizhaeva, Anna ; Wang, Jiang.
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  266. LIQUIDITY AND INFORMATION AROUND ANNUAL EARNINGS ANNOUNCEMENTS: AN INTRADAY ANALYSIS OF THE SPANISH STOCK MARKET. (2005). Abad, David ; Sanabria, Sonia ; Yague, Jose.
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  267. Order Submission Strategies and Information: Empirical Evidence from the NYSE. (2005). Beber, Alessandro ; Caglio, Cecilia.
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  268. The make or take decision in an electronic market: Evidence on the evolution of liquidity. (2005). Saar, Gideon ; Bloomfield, Robert ; O'Hara, Maureen .
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  269. Liquidity commonality and return co-movement. (2005). Domowitz, Ian ; Hansch, Oliver ; Wang, Xiaoxin .
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  270. Should securities markets be transparent?. (2005). Porter, David ; Madhavan, Ananth ; Weaver, Daniel.
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  271. Market microstructure: A survey of microfoundations, empirical results, and policy implications. (2005). Biais, Bruno ; Spatt, Chester ; Glosten, Larry .
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  272. Commonalities in the order book. (2005). Grammig, Joachim ; Giot, Pierre ; Helena, BELTRAN ; Joachim, GRAMMIG.
    In: Discussion Papers (ECON - Département des Sciences Economiques).
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  273. The speed of limit order execution in the Spanish stock exchange. (2005). Gava, Luana.
    In: DEE - Working Papers. Business Economics. WB.
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  274. Volatility regimes and the provision of liquidity in order book markets. (2005). Giot, Pierre ; Durré, Alain ; Durre, Alain ; BELTRAN, Helena .
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  275. Price Movement Effects on the State of the Electronic Limit‐Order Book. (2005). Chan, Yue-Cheong .
    In: The Financial Review.
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  276. Order Submission: The Choice between Limit and Market Orders. (2005). Lo, Ingrid ; Sapp, Stephen G..
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  277. What really causes large price changes?. (2004). Farmer, J. ; Sen, Anindya ; Mike, Szabolcs ; Gillemot, Laszlo ; Lillo, Fabrizio.
    In: Quantitative Finance.
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  278. Cancellation and uncertainty aversion on limit order books. (2004). Large, Jeremy .
    In: Economics Series Working Papers.
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  279. Cancellation and Uncertainty Aversion on Limit Order Books. (2004). Large, Jeremy.
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  280. How does liquidity react to stress periods in a limit order market?. (2004). Giot, Pierre ; Durré, Alain ; BELTRAN, Helena .
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  293. Limit Order Book as a Market for Liquidity. (2003). Kandel, Eugene ; Foucault, Thierry ; Kadan, Ohad.
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  305. Liquidity Supply and Demand in Limit Order Markets. (2002). Slive, Joshua ; Hollifield, Burton ; Miller, Robert A. ; Sands, Patrik .
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  306. Limit order book as a market for liquidity. (2001). Kandel, Eugene ; Foucault, Thierry ; Kadan, Ohad.
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  307. Empirical Analysis of Limit Order Markets. (2001). Hollifield, Burton ; Sands, Patrik ; Miller, Robert.
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  308. Overview: market structure issues in market liquidity. (2001). O'Hara, Maureen .
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  309. Market microstructure: A survey. (2000). Madhavan, Ananth.
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  310. An Empirical Analysis of Limit Order Markets. (1999). Hollifield, Burton ; Sandas, Patrik ; Miller, Robert A..
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