Charly Sujoto

ANZ (Australia and New Zealand) Banking Group, Ltd.

Melbourne, Victoria

Australia

SCHOLARLY PAPERS

1

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142

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Scholarly Papers (1)

1.

Daily Herding and Commonality in Liquidity on a Pure Limit Order Book Market

Number of pages: 27 Posted: 26 Aug 2011
ANZ (Australia and New Zealand) Banking Group, Ltd., La Trobe Business School, University of Queensland and ANZ (Australia and New Zealand) Banking Group, Ltd.
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Abstract:

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herding, limit order book, commonality in liquidity