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How does liquidity react to stress periods in a limit order market?
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How does liquidity react to stress periods in a limit order market?
How does liquidity react to stress periods in a limit order market?
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May 2004
Beltran, H.
/
Durré, A.
/
Giot, P.
Working Paper N° 49
JEL classification:
G10
C32
Keywords:
order book
volatility
Liquidity
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