Measuring and explaining liquidity on an electronic limit order book: Evidence from Reuters D2000-2
Download paperDanielsson, 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},
}