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~isPartOf:"Economics Series Working Papers / Department of Economics, Oxford University"
~subject:"Limit Order Book"
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1
A Market-Clearing Role for Inefficiency on a
Limit
Order
Book
Large, Jeremy
-
Department of Economics, Oxford University
-
2006
Using a stochastic sequential game in ergodic equilibrium, this paper models
limit
order
book
trading dynamics. It …
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