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3 - Limit Order Books

from PART II - LIMIT ORDER BOOKS: INTRODUCTION

Published online by Cambridge University Press:  26 February 2018

Jean-Philippe Bouchaud ,
Julius Bonart ,
Jonathan Donier  and
Martin Gould
Jean-Philippe Bouchaud
Affiliation:
Capital Fund Management, Paris
Julius Bonart
Affiliation:
University College London
Jonathan Donier
Affiliation:
Capital Fund Management
Martin Gould
Affiliation:
CFM - Imperial Institute of Quantitative Finance
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Type
Chapter
Information
Trades, Quotes and Prices
Financial Markets Under the Microscope
 , pp. 44 - 57
Publisher: Cambridge University Press
Print publication year: 2018

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References

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Glosten, L. R. (1994). Is the electronic open limit order book inevitable? The Journal of Finance, 49(4), 1127–1161.CrossRefGoogle Scholar
Handa, P., & Schwartz, R. A. (1996). Limit order trading. The Journal of Finance, 51(5), 1835–1861.CrossRefGoogle Scholar
Harris, L. (2003). Trading and exchanges: Market microstructure for practitioners. Oxford University Press.Google Scholar
Biais, B., Glosten, L., & Spatt, C. (2005). Market microstructure: A survey of microfoundations, empirical results, and policy implications. Journal of Financial Markets, 8(2), 217–264.CrossRefGoogle Scholar
Hasbrouck, J. (2007). Empirical market microstructure: The institutions, economics, and econometrics of securities trading. Oxford University Press.Google Scholar
Parlour, C. A., & Seppi, D. J. (2008). Limit order markets: A survey. In Thakor, A. V. and Boot, A. (Eds.), Handbook of financial intermediation and banking (Vol. 5, pp. 63–95). North-Holland.Google Scholar
Foucault, T., Pagano, M., & Röell, A. (2013). Market liquidity: Theory, evidence, and policy. Oxford University Press.CrossRefGoogle Scholar
Lehalle, C. A., & Laruelle, S. (2013). Market microstructure in practice. World Scientific.CrossRefGoogle Scholar

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