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Liquidity Dynamics in an Electronic Open Limit Order Book: an Event Study Approach |
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| Authors: | Peter Gomber Uwe Schweickert Erik Theissen |
| Institution: | 1. University of Frankfurt, Grüneburgplatz 1, Frankfurt, Germany;2. Deutsche B?rse AG, Frankfurt, Germany;3. University of Mannheim, Center for Financial Studies (Frankfurt) and Centre for Financial Research (Cologne), Finance Area, L5 2, Mannheim, Germany |
| Abstract: | |
| Keywords: | liquidity limit order book resiliency |