A Regime-Level Empirical Model of the Specialist Quote Revision Process

• 1 January 2000
• journal article
• Published by Springer Nature in Review of Quantitative Finance and Accounting
• Vol. 14  (4) , 399-417
• https://doi.org/10.1023/a:1008375911021

Abstract

Keywords

• BID
• ORDER FLOW
• MODEL
• EQUATION
• REVISION
• STOCKS
• EXOGENOUS
• TRADING
• ASK