Patrik Sandas

University of Virginia

McIntire School of Commerce

Monroe Hall, FL 2

Charlottesville, VA 22904-4173

United States

Centre for Economic Policy Research (CEPR)

Fellow

London

United Kingdom

SCHOLARLY PAPERS

5

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1,225

SSRN CITATIONS
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Top 11,499

in Total Papers Citations

48

CROSSREF CITATIONS

59

Scholarly Papers (5)

1.
Downloads 745 ( 41,646)
Citation 9

Liquidity Supply and Demand in Limit Order Markets

Number of pages: 53 Posted: 27 Jan 2003
Carnegie Mellon University - David A. Tepper School of Business, Carnegie Mellon University - David A. Tepper School of Business, University of Virginia and Bank of Canada
Downloads 706 (44,149)
Citation 14

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liquidity, limit orders, market orders, high frequency data, discrete choice

Liquidity Supply and Demand in Limit Order Markets

Number of pages: 55 Posted: 17 Jan 2003
Carnegie Mellon University - David A. Tepper School of Business, University of Virginia, Carnegie Mellon University - David A. Tepper School of Business and Bank of Canada
Downloads 39 (527,761)
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Liquidity, limit orders, market orders, high frequency data, discrete choice

2.

Co-Movements of Index Options and Futures Quotes

Dice Center Working Paper Series No. 2005-10, Journal of Empirical Finance, Forthcoming
Number of pages: 27 Posted: 15 Apr 2005 Last Revised: 08 Aug 2008
Rüdiger Fahlenbrach and Patrik Sandas
Ecole Polytechnique Fédérale de Lausanne and University of Virginia
Downloads 258 (146,141)

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Options, Frictions, Market Microstructure, Stale Quotes, Market and Limit Orders

3.
Downloads 192 (193,416)
Citation 26

Estimating the Gains from Trade in Limit Order Markets

Rodney L. White Center for Financial Research Working Paper No. 20-04
Number of pages: 50 Posted: 11 Sep 2004
Carnegie Mellon University - David A. Tepper School of Business, Carnegie Mellon University - David A. Tepper School of Business, University of Virginia and Bank of Canada
Downloads 173 (211,971)
Citation 3

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Limit Order Markets, Gains from Trade, Discrete Choice, Allocative Efficiency

Estimating the Gains from Trade in Limit Order Markets

Number of pages: 50 Posted: 09 Jul 2004
Carnegie Mellon University - David A. Tepper School of Business, Carnegie Mellon University - David A. Tepper School of Business, University of Virginia and Bank of Canada
Downloads 19 (656,301)
Citation 23
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Limit order markets, gains from trade, discrete choice, allocative efficiency

4.

Empirical Analysis of Limit Order Markets

Number of pages: 67 Posted: 19 Jun 2001
Burton Hollifield, Robert A. Miller and Patrik Sandas
Carnegie Mellon University - David A. Tepper School of Business, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 30 (563,254)
Citation 6
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Electronic trading systems, limit order markets, semiparametric estimation, auctions

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