Econometric models of limit-order executions
By: Andrew W. Lo, A. Craig MacKinlay, June Zhang.
Contributors: MacKinlay, Archie Craig, 1955-; Zhang, June.; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 6257; Working paper series (National Bureau of Economic Research) -- working paper no. 6257.
Publisher: National Bureau of Economic Research
Published: 1997
Place of publication: Cambridge, MA
Language: eng
Number of pages: 35
Subjects: Stock exchanges -- United States -- Econometric models.; Stocks -- Prices -- United States -- Econometric models.
Notes: "November 1997."

JEL no. G23.

Includes bibliographical references (p. 34-35).

Electronic access limited to Binghamton University faculty, staff and students for instructional and research purposes only.

Electronic version available via the Internet at the NBER World Wide Web site.

Financial support from the National Science Foundation. Grant No. SBR-9709976