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

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Daníelsson, J. and R. Payne (2002). Measuring and explaining liquidity on an electronic limit order book: Evidence from reuters d2000-2.

@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 D2000-2},
  year =    2002,
  url =     {https://ssrn.com/abstract=276541},
 }

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