Common factors in prices, order flows, and liquidity

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Keywords: Common factors; Equities; Liquidity; Microstructure; [JEL classification codes] G14

Document Type: Research Article

DOI: http://dx.doi.org/10.1016/S0304-405X(00)00091-X

Affiliations: aStern School of Business, New York University, 10012-1126, New York, NY, USA

Publication date: March 1, 2001

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