Browsing 14 Economics by Author "Hautsch, Nikolaus"

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Browsing 14 Economics by Author "Hautsch, Nikolaus"

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  • Hautsch, Nikolaus; Hall, Tony (Physica-Verlag Gmbh & Co, 2006)
    In this paper, we study the determinants of order aggressiveness and traders' order submission strategy in an open limit order book market. Applying an order classification scheme, we model the most aggressive market orders, ...