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

A.A. Trujillo Barrera; J.M.E. Pennings

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

A.A. Trujillo Barrera, J.M.E. Pennings

Research output: Contribution to conference › Abstract

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

Conference

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

Cite this

@conference{1c6dcba7fd6c462fb7788c4652feb270,

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

author = "{Trujillo Barrera}, A.A. and J.M.E. Pennings",

year = "2018",

month = apr,

language = "English",

note = "NCCC-134 Conference on Commodity Price Analysis, Forecasting, and Market Risk Management, Minneapolis MN April 16-17 ; Conference date: 16-04-2018 Through 17-04-2018",

}

An Evaluation of Liquidity Measures in Market Microstructure: The Roll of Full Order Book Information. / Trujillo Barrera, A.A.; Pennings, J.M.E.
2018. Abstract from NCCC-134 Conference on Commodity Price Analysis, Forecasting, and Market Risk Management, Minneapolis MN April 16-17, Minneapolis MN, United States.

Research output: Contribution to conference › Abstract

TY - CONF

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

AU - Trujillo Barrera, A.A.

AU - Pennings, J.M.E.

PY - 2018/4

Y1 - 2018/4

M3 - Abstract

T2 - NCCC-134 Conference on Commodity Price Analysis, Forecasting, and Market Risk Management, Minneapolis MN April 16-17

Y2 - 16 April 2018 through 17 April 2018

ER -