What drives the sensitivity of limit order books to company announcement arrivals? (Q1782389)

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What drives the sensitivity of limit order books to company announcement arrivals?
scientific article

    Statements

    title
    What drives the sensitivity of limit order books to company announcement arrivals? (English)
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    author
    Milla Siikanen
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    Juho Kanniainen
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    Arto Luoma
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    publication date
    20 September 2018
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    zbMATH Keywords
    limit order book
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    liquidity
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    company announcement
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    high-frequency data
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    Identifiers

    zbMATH DE Number
    6939466
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    OpenAlex ID
    W2564179890
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