Aggressive Orders and the Resiliency of a Limit Order Market*
- 1 January 2005
- journal article
- research article
- Published by Oxford University Press (OUP) in European Finance Review
- Vol. 9 (2) , 201-242
- https://doi.org/10.1007/s10679-005-7590-6
Abstract
We analyze the resiliency of a pure limit order market by investigating the limit order book (bid and ask prices, spreads, depth and duration), orderKeywords
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