HFTS AND NON-HFTS ALONG THE LIMIT ORDER BOOK
Using NASDAQ high frequency trading (HFT) and minute-by-minute Limit Order Book (LOB) data over 120 sample stocks in 10 weeks between 2008-2010, including the week of the Lehman Brothers crisis, we study how trading activities of HFTs, NHFTs (Non-HFTs) and their order placements interact, and affect...
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| Format: | Others |
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OpenSIUC
2020
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| Online Access: | https://opensiuc.lib.siu.edu/dissertations/1857 https://opensiuc.lib.siu.edu/cgi/viewcontent.cgi?article=2861&context=dissertations |