Timing of Orders, Orders Aggressiveness and the Order Book at the Paris Bourse
- 1 January 2000
- journal article
- Published by JSTOR in Annales D'economie Et de Statistique
- No. 60,p. 43
- https://doi.org/10.2307/20076255
Abstract
We offer a statistical model of the order flow and estimate it using high frequency data from the Paris Bourse. Our model jointly explains the duration between ...Keywords
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