General semi-Markov model for limit order books
Anatoliy Swishchuk and Tyler Hofmeister, Katharina Cera and Julia Schmidt
| Year of publication: |
May 2017
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|---|---|
| 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
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| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024917500194 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011686928