Common factors in prices, order flows, and liquidity

• 1 March 2001
• journal article
• Published by Elsevier in Journal of Financial Economics
• Vol. 59  (3) , 383-411
• https://doi.org/10.1016/s0304-405x(00)00091-x

Abstract

Keywords

• G14
• MICROSTRUCTURE
• LIQUIDITY
• EQUITIES
• COMMON FACTORS