Price dynamics and market liquidity: An ...

Document type :
Compte-rendu et recension critique d'ouvrage
DOI :
10.1016/j.qref.2014.09.003
Title :
Price dynamics and market liquidity: An intraday event study on Euronext
Author(s) :
Mazza, Paolo [Auteur]
Lille économie management - UMR 9221 [LEM]
Journal title :
Quarterly Review of Economics and Finance
Pages :
139--153
Publisher :
Elsevier
Publication date :
2015-05
ISSN :
1062-9769
English keyword(s) :
Liquidity
Limit order market
Informed trading
Market microstructure
HLOC dynamics
HAL domain(s) :
Sciences de l'Homme et Société/Gestion et management
English abstract : [en]
In this paper, we determine whether intraday price dynamics observed on Euronext help characterize market liquidity in real time. We generate 15-min price movement configurations based on high-low-open-close (HLOC) patterns ...
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Language :
Anglais
Popular science :
Non
Collections :
Source :
Harvested from HAL