A reduced-form model for level-1 limit order books
Tzu-Wei Yang, Lingjiong Zhu
| Year of publication: |
September 2016
|
|---|---|
| Authors: | Yang, Tzu-Wei ; Zhu, Lingjiong |
| Published in: |
Market microstructure and liquidity. - New Jersey : World Scientific, ISSN 2382-6266, ZDB-ID 2880405-3. - Vol. 2.2016, 2, p. 1-32
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| Subject: | Limit order books | data analysis | reduced form models | diffusion approximations | Wertpapierhandel | Securities trading | Börsenkurs | Share price | Marktmikrostruktur | Market microstructure | Börsenhandel | Stock exchange trading | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2382626616500088 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011588249