Price Dynamics in a Markovian Limit Order Market

SIAM Journal on Financial Mathematics 2013 / 01 Vol. 4; Iss. 1

Price Dynamics in a Markovian Limit Order Market

Cont, Rama, de Larrard, Adrien
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Volume:
4
Language:
english
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/110856605
Date:
January, 2013
File:
PDF, 485 KB
english, 2013
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