Advanced search
Publication Cover
Quantitative Finance Volume 9, 2009 - Issue 5
Submit an article Journal homepage
488
Views
19
CrossRef citations to date
0
Altmetric
Research Papers

What pieces of limit order book information matter in explaining order choice by patient and impatient traders?

Roberto Pascual Department of Business, Universidad de las Islas Baleares, Ctra. de Valldemossa Km. 7.5, 07122 Palma de Mallorca, Baleares, SpainCorrespondence[email protected]
&
David Veredas ECARES, Université Libre de Bruxelles, Belgium; CORE, Université Catholique de Louvain, Belgium
Pages 527-545 | Received 14 Jan 2007, Accepted 10 Nov 2008, Published online: 18 Jun 2009

Citations (19)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (2)

Jorge V. Pérez–Rodríguez & Emilio Gómez–Déniz. (2015) Spread component costs and stock trading characteristics in the Spanish Stock Exchange. Two flexible fractional response models. Quantitative Finance 15:12, pages 1943-1962.
Read now
Angel Pardo & Roberto Pascual. (2012) On the hidden side of liquidity. The European Journal of Finance 18:10, pages 949-967.
Read now

Articles from other publishers (17)

Z. Sun, P. A. Hamill, Y. Li, Y. C. Yang & S. A. Vigne. (2018) Did long-memory of liquidity signal the European sovereign debt crisis?. Annals of Operations Research 282:1-2, pages 355-377.
Crossref
Anthony Brabazon, Piotr Lipinski & Philip Hamill. (2016) Characterising order book evolution using self-organising maps. Evolutionary Intelligence 9:4, pages 167-179.
Crossref
Javier Sandoval, Jaime Nino, German Hernandez & Andrea Cruz. (2016) Detecting Informative Patterns in Financial Market Trends Based on Visual Analysis. Procedia Computer Science 80, pages 752-761.
Crossref
Alexandru Mandeş. (2015) Microstructure-based order placement in a continuous double auction agent based model. Algorithmic Finance 4:3-4, pages 105-125.
Crossref
Yi-Heng Tseng & Shu-Heng Chen. (2015) Limit order book transparency and order aggressiveness at the closing call: Lessons from the TWSE 2012 new information disclosure mechanism. Pacific-Basin Finance Journal 35, pages 241-272.
Crossref
Gökhan Cebiroğlu & Ulrich Horst. (2015) Optimal order display in limit order markets with liquidity competition. Journal of Economic Dynamics and Control 58, pages 81-100.
Crossref
Alexandre Aidov & Robert T. Daigler. (2015) Depth Characteristics for the Electronic Futures Limit Order Book. Journal of Futures Markets 35:6, pages 542-560.
Crossref
Björn Hagströmer & Lars Nordén. (2014) Closing Call Auctions at the Index Futures Market. Journal of Futures Markets 34:4, pages 299-319.
Crossref
Huu Nhan Duong, Petko S. Kalev & Yang Sun. 2014. Market Microstructure and Nonlinear Dynamics. Market Microstructure and Nonlinear Dynamics 25 50 .
Marcela Valenzuela & Ilknur Zer. (2013) Competition, signaling and non-walking through the book: Effects on order choice. Journal of Banking & Finance 37:12, pages 5421-5435.
Crossref
Axel Groß‐KlußMann & Nikolaus Hautsch. (2013) Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models. Journal of Forecasting 32:8, pages 724-742.
Crossref
Wei Cui, Anthony Brabazon & Michael O'Neill. (2010) Evolving efficient limit order strategy using Grammatical Evolution. Evolving efficient limit order strategy using Grammatical Evolution.
R. Pascual & D. Veredas. (2009) Does the Open Limit Order Book Matter in Explaining Informational Volatility?. Journal of Financial Econometrics 8:1, pages 57-87.
Crossref
Wei Cui, Anthony Brabazon & Michael O’Neill. 2010. Applications of Evolutionary Computation. Applications of Evolutionary Computation 192 201 .
Huu Nhan Duong, Petko S. Kalev & Yang Sun. (2011) Pre-Trade Transparency and the Information Content of the Limit-Order Book. SSRN Electronic Journal.
Crossref
Axel Groß-Klußmann & Nikolaus Hautsch. (2011) Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models. SSRN Electronic Journal.
Crossref
Björn Hagströmer & Lars L. Norden. (2011) Closing Call Auctions at the Index Futures Market. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.