Order flow composition and trading costs in a dynamic limit order market1

Thierry Foucault

Journal of Financial Markets, 1999, vol. 2, issue 2, 99-134

Date: 1999
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Working Paper: Order Flow Composition and Trading Costs in Dynamic Limit Order Markets (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:2:y:1999:i:2:p:99-134

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