RP8: Order Books Dynamics and Announcement Effects during Financial Crisis (WP3)

Information arrivals are of particular interest in finance. This project studies how announcements are related to the fundamental order book process. The objective is to provide empirical evidence and to model the determinants of order book dynamics and information asymmetry around information shocks and during a financial crisis. Secondly, given that there are investors who […]

03.11.2016 Read more