Order Book Characteristics and the Volume-Volatility Relation: Empirical Evidence from a Limit Order Market

By Randi Næs, Johannes A. Skjeltorp. 2006

149 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0ca853545b6ce38f8b603f3710580d78cfc882b5

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Alexandros Iosifidis
2. Moncef Gabbouj
3. Juho Kanniainen

In Economics and Econometrics

1. Juho Kanniainen
2. Alexandros Iosifidis
3. Martin Magris
4. Moncef Gabbouj
5. Weiwei Jiang

In Finance

1. Alexandros Iosifidis
2. Moncef Gabbouj
3. Adamantios Ntakaris
4. Juho Kanniainen
5. Martin Magris
6. Weiwei Jiang

Citations in the corpus

• Limit Order Books and Liquidity around Scheduled and Non-Scheduled Announcements: Empirical Evidence from NASDAQ Nordic (2017, unknown): “in (Næs and Skjeltorp, 2006; Deuskar and Johnson, 2011; Härdle et al., 2012; Malo and Pennanen, 2012).”
• Benchmark Dataset for Mid-Price Prediction of Limit Order Book data (2017, background): “Næs and Skjeltorp [37] show that the order book slope measures the elasticity of supplied quantity as a function of asset prices related to volatility, trading activity and asset’s dispersion beliefs.”