General semi-Markov model for limit order books

Anatoliy Swishchuk and Tyler Hofmeister, Katharina Cera and Julia Schmidt

Year of publication:	May 2017
Authors:	Sviščuk, Anatolij ; Hofmeister, Tyler ; Cera, Katharina ; Schmidt, Julia
Published in:	International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 20.2017, 3, p. 1-21
Subject:	Limit order book \| diffusion limit \| market microstructure \| Marktmikrostruktur \| Market microstructure \| Theorie \| Theory \| Wertpapierhandel \| Securities trading \| Börsenkurs \| Share price \| Börsenhandel \| Stock exchange trading \| Geld-Brief-Spanne \| Bid-ask spread

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