Liquidity Beyond the Inside Spread: Measuring and Using Information in the Limit Order Book

By Paul J. Irvine, G. Benston, Eugene Kandel. 2000

158 citations recorded by the source corpus.

Subfields: Accounting, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/8ee1dedfeb53fe6e4a835b8fdf0c0233ff13a35e

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. Ekkehart Boehmer
2. Gideon Saar
3. C. Kaserer
4. C. Rösch
5. Terrence Hendershott
6. J. Wu
7. Eric K. Kelley
8. Charles M. Jones

In Finance

1. Ekkehart Boehmer
2. Gideon Saar
3. C. Kaserer
4. C. Rösch
5. Lei Yu
6. Terrence Hendershott
7. Charles M. Jones
8. J. Wu

In Management Science and Operations Research

1. Ekkehart Boehmer
2. Gideon Saar

Citations in the corpus

• Market Liquidity in the Financial Crisis: The Role of Liquidity Commonality and Flight-to-Quality (2013, background): “A similar measure called cost of round trip trade (CRT), which aggregates the status of the limit order book at any moment in time for a specific transaction size, was introduced by Irvine et al. (2000).”
• Lifting the Veil: An Analysis of Pre-trade Transparency at the NYSE (2005, background): “Two 3 On the issue of whether the limit order book contains information about future price movements see Harris and Panchapagesan (1999), Irvine, Benston, and Kandel (2000), Kaniel and Liu (2001), and Coppejans and Domowitz (2002).”
• Limit order book as a market for liquidity (2001, unknown): “…book is a phenomenon documented by several empirical studies: Biais, Hillion and Spatt (1995) - Paris Bourse; Goldstein and Kavajecz (2000) - NYSE; Hollifield, Miller, and Sandas (2001) - Stockholm; Benston, Irvine, and Kandel (2001) - Toronto; and Kandel, Lauterbach, and Tkach (2000) - Tel Aviv.”