The dealers ride again: volatility and order flow dynamics in a hybrid market

Ellul, Andrew (2001) The dealers ride again: volatility and order flow dynamics in a hybrid market. Discussion paper, 368. Financial Markets Group, London School of Economics and Political Science, London, UK.

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Item Type:	Monograph (Discussion Paper)
Official URL:	http://fmg.lse.ac.uk
Additional Information:	© 2001 The Author
Library of Congress subject classification:	H Social Sciences > HB Economic Theory
Journal of Economic Literature Classification System:	G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates E - Macroeconomics and Monetary Economics > E1 - General Aggregative Models > E17 - Forecasting and Simulation C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C11 - Bayesian Analysis
Sets:	Research centres and groups > Financial Markets Group (FMG) Collections > Economists Online Departments > Economics Collections > LSE Financial Markets Group (FMG) Working Papers
Identification Number:	368
Date Deposited:	28 Aug 2009 10:01
URL:	http://eprints.lse.ac.uk/25041/

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