مرکز منطقه ای اطلاع رساني علوم و فناوري - Modelling the buy and sell intensity in a limit order book market

Title of article :

Modelling the buy and sell intensity in a limit order book market

Author/Authors :

Anthony D. Hall، نويسنده , , Nikolaus Hautsch، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2007

Pages :

From page :

249

To page :

286

Keywords :

Buy and sell arrival process , Order book information , Market depth , Bivariate autoregressive intensitymodel , Net buy pressure

Journal title :

Journal of Financial Markets

Serial Year :

2007

Journal title :

Journal of Financial Markets

Record number :

189509

Link To Document :