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|a 1193113813
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|a 3896446355
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|a 9783896446350
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|a UAMI
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|a ARNE BREUER.
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|a An empirical analysis of order dynamics in a high frequency trading environment
|h [electronic resource].
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|a [S.l.] :
|b DUNCKER & HUMBLOT,
|c 2020.
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|a 1 online resource
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|a Studienreihe der Stiftung Kreditwirtschaft an der Universität Hohenheim ;
|v v.49
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|a Intro -- Vorwort -- Contents -- List of Figures -- List of Tables -- List of Abbreviations -- List of Variables -- Chapter 0: Introduction -- Chapter 1: Literature Overview -- 1.1 Introduction -- 1.2 Market Microstructures -- 1.2.1 Quote-Driven Markets -- 1.2.2 Order-Driven Markets -- 1.3 Algorithmic Trading -- 1.4 Conclusion -- Chapter 2: The Microstructure of Order Dynamics -- 2.1 Introduction -- 2.2 PreviousWork -- 2.3 Empirical Evidence from NASDAQ -- 2.3.1 Methodology and Data -- 2.3.2 Add Order → Delete Order -- 2.3.3 Add Order → Add Order -- 2.3.4 Delete Message → Add Message
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|a 2.4 Conclusion -- Chapter 3: The Nanostructure of Order Dynamics -- 3.1 Introduction -- 3.2 Literature Review -- 3.3 Dataset -- 3.4 Empirical Results -- 3.4.1 Limit Order Lifetimes -- 3.4.2 Order Revision Times -- 3.4.3 Inter-Order Placement Times -- 3.5 Conclusion -- 3.A Appendix -- Chapter 4: Conclusion -- Bibliography
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|a JSTOR
|b Books at JSTOR All Purchased
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|a JSTOR
|b Books at JSTOR Demand Driven Acquisitions (DDA)
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|a Electronic trading of securities.
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|a Stock exchanges
|x Computer networks.
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|a Capital market.
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| 650 |
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|a Algorithms.
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| 650 |
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|a Algorithms
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| 650 |
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|a Valeurs mobilières
|x Commerce électronique.
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| 650 |
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|a Bourse
|x Réseaux d'ordinateurs.
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| 650 |
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|a Marché financier.
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| 650 |
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|a Algorithmes.
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|a algorithms.
|2 aat
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|a Algorithms
|2 fast
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|a Capital market
|2 fast
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|a Electronic trading of securities
|2 fast
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|a Stock exchanges
|x Computer networks
|2 fast
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|i Print version:
|a Breuer, Arne
|t An Empirical Analysis of Order Dynamics in a High Frequency Trading Environment.
|d Berlin : Duncker & Humblot,c2020
|z 9783896736352
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| 830 |
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|a Studienreihe der Stiftung Kreditwirtschaft an der Universität Hohenheim.
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| 856 |
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|u https://jstor.uam.elogim.com/stable/10.2307/j.ctv1q69wz3
|z Texto completo
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| 938 |
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|a YBP Library Services
|b YANK
|n 301487612
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| 938 |
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|a ProQuest Ebook Central
|b EBLB
|n EBL6331225
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| 994 |
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|a 92
|b IZTAP
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