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Correlation of coming limit price with order book in stock markets

โœ Scribed by Jun-ichi Maskawa


Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
201 KB
Volume
383
Category
Article
ISSN
0378-4371

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โœ Donald Lien; N. Balakrishnan ๐Ÿ“‚ Article ๐Ÿ“… 2003 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 207 KB

In this paper, we consider the order statistics from a bivariate normal distribution and develop a conditional correlation analysis. We then apply these results to evaluate the presence of inventory e ects in futures market. We also apply these results to analyze the data from a visual acuity experi