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Keywords: Limit order book
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Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2014) 31 (1): 46–71.
Published: 25 February 2014
... book data, which has more informational content. Design/methodology/approach – Using data from the London Stock Exchange's electronic SETS platform, the authors transform limit order book compositions into volume-weighted average price curves and accordingly estimate market impact. The regression...
