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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Bibliographic Details
Main Author: Creswell, Philip N.
Published: University of Edinburgh 2004
Subjects:
332
Online Access:http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.645138