The information content of a limit order book: The case of an FX market

Journal of Financial Markets - Tập 15 - Trang 1-28 - 2012
Roman Kozhan1, Mark Salmon1
1Warwick Business School, University of Warwick, Scarman Road, Coventry CV4 7AL, UK

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Journal of Financial Markets

Tập 15

1-28

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