collaborators

1 paper

q-fin.MF2019

An Empirical Study on Arrival Rates of Limit Orders and Order Cancellation Rates in Borsa Istanbul

Can Yilmaz Altinigne, Harun Ozkan, Veli Can Kupeli +1

Order book dynamics play an important role in both execution time and price formation of orders in an exchange market. In this study, we aim to model the limit order arrival rates…