Order aggressiveness and order book dynamics

Physica-Verlag Gmbh & Co
Publication Type:
Journal Article
Empirical Economics, 2006, 30 (4), pp. 973 - 1005
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In this paper, we study the determinants of order aggressiveness and traders' order submission strategy in an open limit order book market. Applying an order classification scheme, we model the most aggressive market orders, limit orders as well as cance
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