An Evaluation of Liquidity Measures in Market Microstructure: The Roll of Full Order Book Information

Andres Trujillo-Barrera; Joost Pennings

An Evaluation of Liquidity Measures in Market Microstructure: The Roll of Full Order Book Information

Andres Trujillo-Barrera, Joost Pennings

Research output: Contribution to conference › Abstract › Academic

Original language	English
Publication status	Published - 2018
Event	NCCC-134 Conference on Commodity Price Analysis, Forecasting, and Market Risk Management - Crowne Plaza Northstar Hotel, Minneapolis, Minnesota, United States Duration: 16 Apr 2018 → 17 Apr 2018

Conference

Conference	NCCC-134 Conference on Commodity Price Analysis, Forecasting, and Market Risk Management
Country/Territory	United States
City	Minneapolis, Minnesota
Period	16/04/18 → 17/04/18

Keywords

MARKETS
FINANCE

Cite this

@conference{00a4c660954f4dea95c83c7e01c17240,

title = "An Evaluation of Liquidity Measures in Market Microstructure: The Roll of Full Order Book Information",

keywords = "MARKETS, FINANCE",

author = "Andres Trujillo-Barrera and Joost Pennings",

note = "Data source: co-author(s); NCCC-134 Conference on Commodity Price Analysis, Forecasting, and Market Risk Management ; Conference date: 16-04-2018 Through 17-04-2018",

year = "2018",

language = "English",

}

TY - CONF

T1 - An Evaluation of Liquidity Measures in Market Microstructure: The Roll of Full Order Book Information

AU - Trujillo-Barrera, Andres

AU - Pennings, Joost

N1 - Data source: co-author(s)

PY - 2018

Y1 - 2018

KW - MARKETS

KW - FINANCE

M3 - Abstract

T2 - NCCC-134 Conference on Commodity Price Analysis, Forecasting, and Market Risk Management

Y2 - 16 April 2018 through 17 April 2018

ER -