Characteristics of Observed Limit Order Demand and Supply Schedules for Individual Stocks
收藏NBER2009-02-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w14733
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资源简介：
Using complete order books from the Korea Stock Exchange for a four-year period including the 1997 Asian financial crisis, we observe (not estimate) limit order demand and supply curves for individual stocks. Both curves have demonstrably finite elasticities. These fall markedly, by about 40%, with
提供机构：
美国国家经济研究局
创建时间：
2009-02-01
