The State of the Electronic Limit Order Book, Order Aggressiveness and Price Formation

Korean Journal of Financial Studies 2008;37(2):245-296.
Published online April 30, 2008.

The State of the Electronic Limit Order Book, Order Aggressiveness and Price Formation

Ming Chang Wang, Lon Ping Zu, Chau Jung Kuo

Key Words: Adverse Selection Costs,Market Microstructure,Order Aggressiveness,Price Formation,State of the Limit Order Book

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