Risk research: Measuring and explaining liquidity on an electronic limit order book: Evidence from {Reuters} {D}2000-2

Measuring and explaining liquidity on an electronic limit order book: Evidence from {Reuters} {D}2000-2

Danielsson, J. and R. Payne (2002). Measuring and explaining liquidity on an electronic limit order book: Evidence from Reuters D2000-2. In Proceedings of the Third Joint Central Bank Conference on Risk Measurement and Systemic Risk. Bank of International Settlements.

@inproceedings{DanielssonPayne2002b,
   AUTHOR   = {J{\'o}n Dan{\'i}elsson and Richard Payne},
   title    = {Measuring and explaining liquidity on an electronic limit order book: Evidence from {Reuters} {D}2000-2},
   year     = {2002},
   booktitle={Proceedings  of the Third Joint Central Bank Conference on Risk Measurement and Systemic Risk},
	url={https://ssrn.com/abstract=276541},
   organization={Bank of International Settlements},
   
}

Endogenous risk

Real trading patterns and prices in spot foreign exchange markets