High Frequency Trading and Limit Order Book Dynamics
1. Introduction 2. Limit order books and trade informativeness 3. A forecast based comparison of restricted Wishart autoregressive models for realized covariance matrices 4. A simple two component model for the distribution of intraday returns 5. Liquidity determination in an order driven market 6. Exchange rate determination and inter market order flow effects 7. Permanent trading impacts and bond yields 8. High frequency information content in end user foreign exchange order flows 9. A detailed investigation of the disposition effect and individual trading behavior: a panel survival approach 10. How do individual investors trade? 11. On the hidden side of liquidity 12. Price discovery in spot and futures markets: a reconsideration 13. Optimal informed trading in the foreign exchange market 14. The impact of aggressive orders in an order driven market: a simulation approach