A reduced-form model for level-1 limit order books
Year of publication: |
September 2016
|
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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
|
Subject: | Limit order books | data analysis | reduced form models | diffusion approximations |
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