Econometric Models of Limit-Order Executions
暂无分享,去创建一个
[1] Kee H. Chung,et al. Limit Orders and the Bid-Ask Spread , 1999 .
[3] Christine A. Parlour. Price Dynamics in Limit Order Markets , 1998 .
[4] Lawrence Harris,et al. Optimal Dynamic Order Submission Strategies In Some Stylized Trading Problems , 1998 .
[5] Duane J. Seppi. Liquidity Provision with Limit Orders and a Strategic Specialist , 1997 .
[6] G. S. Mudholkar,et al. A Generalization of the Weibull Distribution with Application to the Analysis of Survival Data , 1996 .
[7] Michal Abrahamowicz,et al. Time-Dependent Hazard Ratio: Modeling and Hypothesis Testing with Application in Lupus Nephritis , 1996 .
[8] Ludwig Fahrmeir,et al. Smoothing Hazard Functions and Time-Varying Effects in Discrete Duration and Competing Risks Models , 1996 .
[9] Kenneth A. Kavajecz,et al. A SPECIALIST'S QUOTED DEPTH AS A STRATEGIC CHOICE VARIABLE: AN APPLICATION TO SPREAD DECOMPOSITION MODELS , 1996 .
[10] Lawrence Harris,et al. Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy , 1996, Journal of Financial and Quantitative Analysis.
[11] M. Pagano,et al. Survival analysis. , 1996, Nutrition.
[12] Chester Spatt,et al. An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse , 1995 .
[13] N. L. Johnson,et al. Continuous Univariate Distributions. , 1995 .
[14] Sugato Chakravarty,et al. An Integrated Model of Market and Limit Orders , 1995 .
[15] Hidden Limit Orders on the NYSE , 1995 .
[16] Donald B. Keim,et al. Empirical evidence on the behavior of institutional traders , 1995 .
[17] Puneet Handa,et al. Limit Order Trading , 1995 .
[18] L. Glosten. Is the Electronic Open Limit Order Book Inevitable , 1994 .
[19] Praveen Kumar,et al. Limit and Market Orders with Optimizing Traders , 1994 .
[20] Thierry Foucault. Price formation and order placement strategies in a dynamic order driven market , 1994 .
[21] M. Petersen,et al. Posted versus effective spreads: Good prices or bad quotes? , 1994 .
[22] A. Lo,et al. Implementing Option Pricing Models When Asset Returns are Predictable , 1994 .
[23] Joo Han Kim. Chi-Square Goodness-of-Fit Tests for Randomly Censored Data , 1993 .
[24] Ananth N. Madhavan,et al. Trading Mechanisms in Securities Markets , 1992 .
[25] A. Lo,et al. An Ordered Probit Analysis of Transaction Stock Prices , 1991 .
[26] David Easley,et al. Order Form and Information in Securities Markets , 1991 .
[27] D. Gamerman. Dynamic Bayesian Models for Survival Data , 1991 .
[28] S. Viswanathan,et al. A theory of the interday variations in volume , 1990 .
[29] L. Harris. Estimation of Stock Price Variances and Serial Covariances from Discrete Observations , 1990 .
[30] A. Karr,et al. Nonparametric Survival Analysis with Time-Dependent Covariate Effects: A Penalized Partial Likelihood Approach , 1990 .
[31] L. Glosten. Insider Trading, Liquidity, and the Role of the Monopolist Specialist , 1989 .
[32] C. Ball,et al. Estimation Bias Induced by Discrete Security Prices , 1988 .
[33] Edward W. Frees,et al. Estimating the Volatility of Discrete Stock Prices , 1988 .
[34] Maureen O'Hara,et al. The Microeconomics of Market Making , 1986, Journal of Financial and Quantitative Analysis.
[35] D. R. Thomas,et al. Chi-Square Goodness-if-Fit Tests for Randomly Censored Data , 1986 .
[36] L. Harris. A transaction data study of weekly and intradaily patterns in stock returns , 1986 .
[37] J. Harrison,et al. Brownian motion and stochastic flow systems , 1986 .
[38] Gary Gottlieb,et al. Implications of the Discreteness of Observed Stock Prices , 1985 .
[39] D. Cox,et al. Analysis of Survival Data. , 1985 .
[40] Kalman J. Cohen,et al. Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread , 1981, Journal of Political Economy.
[41] J. Kalbfleisch,et al. The Statistical Analysis of Failure Time Data , 1980 .
[42] E. Kaplan,et al. Nonparametric Estimation from Incomplete Observations , 1958 .