An analysis of order submissions
good book for learn forex
Abstract
Using an innovative empirical methodology we analyze trading activity and liquidity
supply in an open limit order book market and test a variety of hypotheses put forth
by market microstructure theory. We study how the state of the limit order book, i.e.
liquidity supply, as well as price volatility and limit order cancelations impact on future
trading activity and identify those factors which explain liquidity supply
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