A model that realistically defines market liquidity and depth is introduced. Liquidity is the expected rate of order execution in shares per minute. Depth is the average density of the limit order book in shares per dollar. Illiquid markets tend to exhibit longer execution delays and indirectly high
โฆ LIBER โฆ
A Model Of The Dynamics Of Market Depth
โ Scribed by , Engle; Lange-Predicting Vnet
- Book ID
- 107179795
- Year
- 2010
- Tongue
- English
- Weight
- 402 KB
- Category
- Fiction
No coin nor oath required. For personal study only.
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