Order flow and the bid-ask spread: an empirical probability model of screen-based trading
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Publication:1391446
DOI10.1016/S0165-1889(97)00036-5zbMath0901.90043MaRDI QIDQ1391446
Ian Domowitz, Tim Bollerslev, Jianxin Wang
Publication date: 22 July 1998
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
limit order book; order flow; bid-ask spreads; foreign exchange quotations; screen-based trading; statistical model evaluation
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
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