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Measuring and Explaining Liquidity on an Electronic Limit Order Book: Evidence from Reuters D2000-2

This paper is an empirical examination of liquidity determination on an electronic FX broking system. We focus on two facets of liquidity. First we study the dynamics of liquidity supply and demand via event-time order arrival probabilities and calendar-time order entry rates. We demonstrate that th...

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Bibliographic Details
Authors and Corporations: Danielsson, Jon (Author), Payne, Richard (Other)
Other Authors: Payne, Richard
Type of Resource: E-Book
Language: Undetermined
[S.l.] SSRN [2014]
Source: Verbunddaten SWB
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