What drives the sensitivity of limit order books to company announcement arrivals? (Q1782389)
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scientific article; zbMATH DE number 6939466
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| English | What drives the sensitivity of limit order books to company announcement arrivals? |
scientific article; zbMATH DE number 6939466 |
Statements
What drives the sensitivity of limit order books to company announcement arrivals? (English)
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20 September 2018
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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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0.742424726486206
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0.7363335490226746
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0.7081460952758789
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0.7048072814941406
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0.7026332020759583
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