Search Results for author: Arseniy Kukanov

Found 1 papers, 1 papers with code

Date Published Github Stars

The Price Impact of Order Book Events

1 code implementation • 29 Nov 2010 • Rama Cont, Arseniy Kukanov, SASHA STOIKOV

We study the price impact of order book events - limit orders, market orders and cancelations - using the NYSE TAQ data for 50 U. S. stocks.

Relation

4
Paper
Code
Cannot find the paper you are looking for? You can Submit a new open access paper.
Contact us on: hello@paperswithcode.com . Papers With Code is a free resource with all data licensed under CC-BY-SA.
Terms Data policy Cookies policy