Robert Garrison

Government of the United States of America - Office of Financial Research

717 14th Street, NW

Washington DC, DC 20005

United States

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Cross-Asset Market Order Flow, Liquidity, and Price Discovery

OFR WP 19-04
Number of pages: 57 Posted: 24 Oct 2019
Robert Garrison, Pankaj K. Jain and Mark E. Paddrik
Government of the United States of America - Office of Financial Research, University of Memphis - Fogelman College of Business and Economics and Government of the United States of America - Office of Financial Research
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Abstract:

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cross-market arbitrage, order flow, liquidity, market structure, automated markets