A Continuous-time measurement of the buy-sell pressure in a limit order book market

Research output: Working paper › Research

Documents

  • FRU200403

    Final published version, 800 KB, PDF document

  • Anthony D. Hall
  • Nikolaus Hautsch
 
Original languageEnglish
Place of PublicationCph.
PublisherDepartment of Economics, University of Copenhagen
Number of pages38
Publication statusPublished - 2004

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ID: 159664