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Sandas, Patrik's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
1,082 |
Total
Citations
70 |
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1.
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Liquidity Supply and Demand in Limit Order Markets
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Hollifield, Burton
Carnegie Mellon University - David A. Tepper School of Business Miller, Robert A.
Carnegie Mellon University - David A. Tepper School of Business Sandas, Patrik
University of Virginia Slive, Joshua
Bank of Canada
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Posted:
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17 Jan 03
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Last Revised:
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27 Jan 03
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642
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12
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Hollifield, Burton
Carnegie Mellon University - David A. Tepper School of Business Sandas, Patrik
University of Virginia Miller, Robert A.
Carnegie Mellon University - David A. Tepper School of Business Slive, Joshua
Bank of Canada
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39
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12
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Liquidity, limit orders, market orders, high frequency data, discrete choice
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Hollifield, Burton
Carnegie Mellon University - David A. Tepper School of Business Miller, Robert A.
Carnegie Mellon University - David A. Tepper School of Business Sandas, Patrik
University of Virginia Slive, Joshua
Bank of Canada
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603
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12
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liquidity, limit orders, market orders, high frequency data, discrete choice
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2.
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Fahlenbrach, Rüdiger
Ecole Polytechnique Fédérale de Lausanne Sandas, Patrik
University of Virginia
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15 Apr 05
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Last Revised:
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08 Aug 08
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230
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Options, Frictions, Market Microstructure, Stale Quotes, Market and Limit Orders
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3.
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Estimating the Gains from Trade in Limit Order Markets
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Versions (2)
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Hollifield, Burton
Carnegie Mellon University - David A. Tepper School of Business Miller, Robert A.
Carnegie Mellon University - David A. Tepper School of Business Sandas, Patrik
University of Virginia Slive, Joshua
Bank of Canada
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Posted:
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09 Jul 04
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Last Revised:
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11 Sep 04
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180
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20
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Hollifield, Burton
Carnegie Mellon University - David A. Tepper School of Business Miller, Robert A.
Carnegie Mellon University - David A. Tepper School of Business Sandas, Patrik
University of Virginia Slive, Joshua
Bank of Canada
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19
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20
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Limit order markets, gains from trade, discrete choice, allocative efficiency
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Hollifield, Burton
Carnegie Mellon University - David A. Tepper School of Business Miller, Robert A.
Carnegie Mellon University - David A. Tepper School of Business Sandas, Patrik
University of Virginia Slive, Joshua
Bank of Canada
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161
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20
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Limit Order Markets, Gains from Trade, Discrete Choice, Allocative Efficiency
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4.
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Hollifield, Burton
Carnegie Mellon University - David A. Tepper School of Business Miller, Robert A.
Carnegie Mellon University - David A. Tepper School of Business Sandas, Patrik
University of Virginia
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30
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38
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Electronic trading systems, limit order markets, semiparametric estimation, auctions
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5.
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Sandas, Patrik
University of Virginia
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