Unter den Linden 6
Berlin, Berlin 10099
Humboldt University of Berlin
in Total Papers Downloads
in Total Papers Citations
limit order market, hidden liquidity, high-frequency trading, non-display order, iceberg orders
price impact, limit order, impulse response function, high-frequency cointegration
High-Frequency Trading, Limit Order Book, Optimal Execution, Machine Learning
price impact, limit order, impulse response function, cointegration, optimal order size
limit order market, message data, high-frequency data
Cookies are used by this site. To decline or learn more, visit our Cookies page.
This page was processed by apollobot1 in 0.188 seconds
We'd like to ask you to provide feedback on your experience with SSRN today. Your feedback will be used to enhance the site in the future.
Would you be willing to answer a few questions when you leave our site?
Yes, I'm willing to take part in a survey
No, thank you