Continuous Double Auctions and Microstructure
<p>Chapter One focuses on the movement of quote prices and the role of asymmetric information. Standard methods of estimating the impact of order flow shocks are made inappropriate by the existence of runs in trade initiation, which are theoretically impossible. We find runs that exist in trad...
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| Format: | Others |
| Language: | en |
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2009
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| Online Access: | https://thesis.library.caltech.edu/5211/1/Thesis_090527.pdf Alton, Michael R. (2009) Continuous Double Auctions and Microstructure. Dissertation (Ph.D.), California Institute of Technology. doi:10.7907/QX5Q-1F94. https://resolver.caltech.edu/CaltechETD:etd-05282009-103105 <https://resolver.caltech.edu/CaltechETD:etd-05282009-103105> |