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The European Journal of Finance Volume 18, 2012 - Issue 9
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Original Articles

Liquidity determination in an order-driven market

Jón Daníelsson Department of Finance and Financial Markets Group, London School of Economics, Houghton Street, London, WC2A 2AE, UK
&
Richard Payne Finance Group, Warwick Business School, University of Warwick, Coventry, CV4 7AL, UKCorrespondence[email protected]
Pages 799-821 | Published online: 22 Aug 2011

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Read on this site (4)

Heeho Kim & Hongxia Zhang. (2021) Determination of Strategic Spreads in East Asia. Global Economic Review 50:2, pages 73-92.
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Bruce Burton, Satish Kumar & Nitesh Pandey. (2020) Twenty-five years of The European Journal of Finance (EJF): a retrospective analysis. The European Journal of Finance 26:18, pages 1817-1841.
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Milla Siikanen, Ulrich Nögel & Juho Kanniainen. (2019) Trading too expensively in the FX market?. Quantitative Finance 19:12, pages 1933-1944.
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Thanos Verousis, Owain ap Gwilym & XiaoHua Chen. (2016) The intraday determination of liquidity in the NYSE LIFFE equity option markets. The European Journal of Finance 22:12, pages 1164-1188.
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Articles from other publishers (16)

Priyanka Naik, B. G. Poornima & Y. V. Reddy. (2020) Measuring liquidity in Indian stock market: A dimensional perspective. PLOS ONE 15:9, pages e0238718.
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Giang Nguyen, Robert Engle, Michael Fleming & Eric Ghysels. (2020) Liquidity and volatility in the U.S. Treasury market. Journal of Econometrics 217:2, pages 207-229.
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Alexis Stenfors & Masayuki Susai. (2019) Liquidity withdrawal in the FX spot market: A cross-country study using high-frequency data. Journal of International Financial Markets, Institutions and Money 59, pages 36-57.
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Vincent M. Kleinbrod & Xiao-Ming Li. (2017) Order flow and exchange rate comovement. Journal of International Money and Finance 77, pages 199-215.
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Ji Luo, Kai-Hong Tee & Baibing Li. (2017) Timing liquidity in the foreign exchange market: Did hedge funds do it?. Journal of Multinational Financial Management 40, pages 47-62.
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Kenichi Yoshida & Akito Sakurai. (2016) Stock Price Regression Based on Order Book Information. Stock Price Regression Based on Order Book Information.
Tamara V. Teplova & Victoria A. Rodina. (2016) Does stock exchange consolidation improve market liquidity? A study of stock exchange acquisition in Russia. Research in International Business and Finance 37, pages 375-390.
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Bence Tóth, Imon Palit, Fabrizio Lillo & J. Doyne Farmer. (2015) Why is equity order flow so persistent?. Journal of Economic Dynamics and Control 51, pages 218-239.
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Kenichi Yoshida & Akito Sakurai. (2015) Short-term Stock Price Analysis Based on Order Book Information. Transactions of the Japanese Society for Artificial Intelligence 30:5, pages 683-692.
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. (2013) B: Financial Instruments and Markets. World Banking Abstracts 30:1, pages 8-17.
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John Cotter & Kevin Dowd. (2007) The Tail Risks of FX Return Distributions: A Comparison of the Returns Associated with Limit Orders and Market Orders. SSRN Electronic Journal.
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Jeremy H. Large. (2007) A Market-Clearing Role for Inefficiency on a Limit Order Book. SSRN Electronic Journal.
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Vincent Kleinbrod & Xiaoming Li. (2017) Order Flow and Exchange Rate Co-Movement. SSRN Electronic Journal.
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Bence Toth, Imon Palit, Fabrizio Lillo & J. Doyne Farmer. (2014) Why Is Equity Order Flow so Persistent?. SSRN Electronic Journal.
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Robert F. Engle, Michael J. Fleming, Eric Ghysels & Giang Nguyen. (2012) Liquidity, Volatility, and Flights to Safety in the U.S. Treasury Market: Evidence from a New Class of Dynamic Order Book Models. SSRN Electronic Journal.
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Francisco Penaranda & Jon Danielsson. (2007) On the Impact of Fundamentals, Liquidity and Coordination on Market Stability. SSRN Electronic Journal.
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