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- Biais, Bruno & Weill, Pierre-Olivier, 2009. "Liquidity Shocks and Order Book Dynamics," IDEI Working Papers 550, Institut d'Économie Industrielle (IDEI), Toulouse.
- Biais, Bruno & Weill, Pierre-Olivier, 2009. "Liquidity Shocks and Order Book Dynamics," TSE Working Papers 09-037, Toulouse School of Economics (TSE).
- Bruno Biais & Pierre-Olivier Weill, 2009. "Liquidity Shocks and Order Book Dynamics," NBER Working Papers 15009, National Bureau of Economic Research, Inc.
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Citations
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Cited by:
- Zhiguo He & Konstantin Milbradt, 2014.
"Endogenous Liquidity and Defaultable Bonds,"
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- Konstantin Milbradt & Zhiguo He, 2012. "Endogenous liquidity and defaultable bonds," 2012 Meeting Papers 86, Society for Economic Dynamics.
- Zhiguo He & Konstantin Milbradt, 2012. "Endogenous Liquidity and Defaultable Bonds," NBER Working Papers 18408, National Bureau of Economic Research, Inc.
- Guillaume Rocheteau & Pierre‐Olivier Weill, 2011.
"Liquidity in Frictional Asset Markets,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(s2), pages 261-282, October.
- Guillaume Rocheteau & Pierre-Olivier Weill, 2011. "Liquidity in Frictional Asset Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43, pages 261-282, October.
- Guillaume Rocheteau & Pierre-Olivier Weill, 2011. "Liquidity in frictional asset markets," Working Papers (Old Series) 1105, Federal Reserve Bank of Cleveland.
- Bruno Biais & Pierre-Olivier Weill, 2009.
"Liquidity Shocks and Order Book Dynamics,"
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15009, National Bureau of Economic Research, Inc.
- Biais, Bruno & Weill, Pierre-Olivier, 2009. "Liquidity Shocks and Order Book Dynamics," TSE Working Papers 09-037, Toulouse School of Economics (TSE).
- Biais, Bruno & Weill, Pierre-Olivier, 2009. "Liquidity Shocks and Order Book Dynamics," IDEI Working Papers 550, Institut d'Économie Industrielle (IDEI), Toulouse.
- Pierre-Olivier Weill & Bruno Biais, 2009. "Liquidity shocks and order book dynamics," 2009 Meeting Papers 89, Society for Economic Dynamics.
- Moriyasu, Hiroshi & Wee, Marvin & Yu, Jing, 2018. "The role of algorithmic trading in stock liquidity and commonality in electronic limit order markets," Pacific-Basin Finance Journal, Elsevier, vol. 49(C), pages 103-128.
- Samuel N. Cohen & Lukasz Szpruch, 2011. "A limit order book model for latency arbitrage," Papers 1110.4811, arXiv.org.
- Cécile Bastidon, 2017.
"Stock markets fragmentation, volatility and final investors,"
Annals of Finance, Springer, vol. 13(4), pages 435-451, November.
- Cécile Bastidon, 2017. "Stock markets fragmentation, volatility and final investors," Post-Print hal-03318507, HAL.
- Weill, Pierre-Olivier, 2020.
"The search theory of OTC markets,"
CEPR Discussion Papers
14847, C.E.P.R. Discussion Papers.
- Pierre-Olivier Weill, 2020. "The search theory of OTC markets," NBER Working Papers 27354, National Bureau of Economic Research, Inc.
- Dugast, J., 2013. "Limited attention and news arrival in limit order markets," Working papers 449, Banque de France.
- Helder Rojas & Artem Logachov & Anatoly Yambartsev, 2020. "Order book dynamics with liquidity fluctuations: limit theorems and large deviations," Papers 2004.10632, arXiv.org, revised Jan 2021.
- Jakša Cvitanić & Charles Plott & Chien-Yao Tseng, 2015. "Markets with random lifetimes and private values: mean reversion and option to trade," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 38(1), pages 1-19, April.
- Branch, William A., 2016. "Imperfect knowledge, liquidity and bubbles," Journal of Economic Dynamics and Control, Elsevier, vol. 62(C), pages 17-42.
- Tian, Xiao & Duong, Huu Nhan & Kalev, Petko S., 2019. "Information content of the limit order book for crude oil futures price volatility," Energy Economics, Elsevier, vol. 81(C), pages 584-597.
- Nikolsko-Rzhevska, Olena & Nikolsko-Rzhevskyy, Alex & Black, Jeffrey R., 2020. "The life of U’s: Order revisions on NASDAQ," Journal of Banking & Finance, Elsevier, vol. 111(C).
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- Geromichalos, Athanasios & Herrenbrueck, Lucas, 2016. "The Strategic Determination of the Supply of Liquid Assets," MPRA Paper 71454, University Library of Munich, Germany.
- Athanasios Geromichalos & Lucas Herrenbrueck, 2016. "The Strategic Determination of the Supply of Liquid Assets," Working Papers 183, University of California, Davis, Department of Economics.
- Danny Lo, 2015. "Essays in Market Microstructure and Investor Trading," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 22, July-Dece.
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JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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