Market microstructure : the automated order book
This thesis examines the efficiency and implications of the market microstructure provided by the London Stock Exchange (LSE), extending the framework of O’Hara (1995), Parlour (1998) and Madhavan (2000) to accommodate the idiosyncrasies of the Stock Exchange Trading System (SETS) and the Stock Exch...
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University of Edinburgh
2004
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Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.645138 |