Do Buyers and Sellers Behave Similarly in a Limit Order Book? A High-Frequency Data Examination of the Finnish Stock Exchange

Kaj Hedvall; Jonas Niemeyer; Gunnar Rosenqvist

doi:10.1016/S0927-5398(97)00011-X

Do Buyers and Sellers Behave Similarly in a Limit Order Book? A High-Frequency Data Examination of the Finnish Stock Exchange

Kaj Hedvall, Jonas Niemeyer, Gunnar Rosenqvist

Statistics, Helsinki

Research output: Contribution to journal › Article › Scientific › peer-review

21 Citations (Scopus)

Original language	English
Peer-reviewed scientific journal	Journal of Empirical Finance
Volume	4
Issue number	2-3
Pages (from-to)	279-293
Number of pages	15
ISSN	0927-5398
DOIs	https://doi.org/10.1016/S0927-5398(97)00011-X
Publication status	Published - 1997
MoE publication type	A1 Journal article - refereed

Keywords

512 Business and Management

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10.1016/S0927-5398(97)00011-X

http://www.sciencedirect.com/science/article/pii/S092753989700011X

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HETEROGENEITY AND STATE DEPENDENCE IN MODELLING ORDER FLOW DYNAMICS
Hedvall, K. & Rosenqvist, G.
01.01.1995 → 31.12.2002
Project: Externally funded project

Cite this

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Do Buyers and Sellers Behave Similarly in a Limit Order Book? A High-Frequency Data Examination of the Finnish Stock Exchange

Keywords

Access to Document

OpenUrl availability

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HETEROGENEITY AND STATE DEPENDENCE IN MODELLING ORDER FLOW DYNAMICS

Cite this