A Stochastic Model for Order Book Dynamics
| Year of publication: |
2010
|
|---|---|
| Authors: | Cont, Rama ; Stoikov, Sasha ; Talreja, Rishi |
| Published in: |
Operations research : the journal of the Operations Research Society of America. - Linthicum, Md : INFORMS, ISSN 0030-364X, ZDB-ID 1233890. - Vol. 58.2010, 3, p. 549-564
|