Zhaohui Han

Financial Engineering Group, ITG Inc.

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A Competing Risk Analysis of Executions and Cancellations in a Limit Order Market

CAEPR Working Paper No. 2006-015
Number of pages: 52 Posted: 04 Oct 2006
Saint Louis University - Richard A. Chaifetz School of Business, ITG Inc., Financial Engineering, Financial Engineering Group, ITG Inc. and North Carolina State University
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Abstract:

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Market microstructure, limit order, competing risks, hazard rate, frailty