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An Analysis Of Order Submissions On The Xetra Trading System

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An analysis of order submissions on the Xetra trading system using multivariate time series of counts∗ Joachim Grammig† Andr´eas Heinen‡ Erick Rengifo§ March 2003 JEL Classification codes: C32, C35, G10. Keywords: Market microstructure; Asymmetric... Read more