Order Arrival, Quote Behavior, and the Return-Generating Process

• 1 September 1987
• journal article
• Published by JSTOR in The Journal of Finance
• Vol. 42  (4) , 1035-1048
• https://doi.org/10.2307/2328305

Abstract

Keywords

• TRANSACTIONS
• MODEL OF RETURN
• STOCK
• RETURN
• ORDER ARRIVAL
• QUOTE BEHAVIOR
• INTRA
• EMPIRICAL RESULTS