Journal article
Quasi-centralized limit order books
- Abstract:
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A quasi-centralized limit order book (QCLOB) is a limit order book (LOB) in which financial institutions can only access the trading opportunities offered by counterparties with whom they possess sufficient bilateral credit. In this paper, we perform an empirical analysis of a recent, high-quality data set from a large electronic trading platform that utilizes QCLOBs to facilitate trade. We argue that the quoterelative framework often used to study other LOBs is not a sensible reference frame...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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- Files:
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(Accepted manuscript, pdf, 6.7MB)
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- Publisher copy:
- 10.1080/14697688.2016.1247980
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Authors
Funding
Oxford-Man Institute of Quantitative Finance
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James S. McDonnell Foundation
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Bibliographic Details
- Publisher:
- Taylor and Francis Publisher's website
- Journal:
- Quantitative Finance Journal website
- Volume:
- 17
- Issue:
- 6
- Pages:
- 831-853
- Publication date:
- 2017-01-09
- Acceptance date:
- 2016-09-28
- DOI:
- EISSN:
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1469-7696
- ISSN:
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1469-7688
- Source identifiers:
-
647848
Item Description
- Keywords:
- Pubs id:
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pubs:647848
- UUID:
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uuid:92dc26f2-3d3b-43d9-b14b-26456fcd24e3
- Local pid:
- pubs:647848
- Deposit date:
- 2016-10-03
Terms of use
- Copyright holder:
- Informa UK Limited
- Copyright date:
- 2017
- Notes:
- © 2017 Informa UK Limited, trading as Taylor and Francis Group. This is the accepted manuscript version of the article. The final version is available online from Taylor and Francis at: https://doi.org/10.1080/14697688.2016.1247980
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