Order aggressiveness and order book dynamics

Publisher:
Physica-Verlag Gmbh & Co
Publication Type:
Journal Article
Citation:
Empirical Economics, 2006, 30 (4), pp. 973 - 1005
Issue Date:
2006-01
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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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