1

A market-clearing role for inefficiency on a limit order book

Year:
2009
Language:
english
File:
PDF, 394 KB
english, 2009
2

Measuring the resiliency of an electronic limit order book

Year:
2007
Language:
english
File:
PDF, 348 KB
english, 2007
5

Estimating quadratic variation when quoted prices change by a constant increment

Year:
2011
Language:
english
File:
PDF, 335 KB
english, 2011
6

Moving Average-Based Estimators of Integrated Variance

Year:
2008
Language:
english
File:
PDF, 1017 KB
english, 2008
10

Moving Average-Based Estimators of Integrated Variance

Year:
2006
Language:
english
File:
PDF, 701 KB
english, 2006