Aggressive Orders and the Resiliency of a Limit Order Market
By Hans Degryse, F. Jong, M. V. Ravenswaaij, Gunther Wuyts. 2005
116 citations recorded by the source corpus.
Subfields: Accounting, Finance
View Paper: https://www.semanticscholar.org/paper/fe31226d54f294ead1ce291aa5b6ee3ca62534a7
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Accounting
- Stacey Jacobsen
- Craig W. Holden
- Avanidhar Subrahmanyam
- Ohad Kadan
- Christopher Krauss
- Thierry Foucault
- Eugene Kandel
- M. Schnaubelt
In Finance
- Stacey Jacobsen
- Craig W. Holden
- Avanidhar Subrahmanyam
- Christopher Krauss
- Ohad Kadan
- Thierry Foucault
- Eugene Kandel
- M. Schnaubelt
Citations in the corpus
- Liquidity Cycles and Make/Take Fees in Electronic Markets (2013, methodology): “Using the expressions for monitoring levels on each side (Equations (14) and (15)), we can solve for the optimal fee structure of the platform in this case.”
- The Empirical Analysis of Liquidity (2014, background): “Deuskar and Johnson [2011] estimate the net market order flow in S&P 500 E-Mini futures over a three-year period.”
- Testing Stylized Facts of Bitcoin Limit Order Books (2019, result): “We follow several previous studies (compare, for example, Degryse et al. (2005), Large (2007), Cummings and Frino (2010) and Gomber et al. (2015)) and analyze the evolution of market liquidity around large trades in a conditional event study: We condition the analysis onto a set of selected events…”