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Diffusive behavior and the modeling of characteristic times in limit order executions
Eisler, Zoltán, Kertész, János, Lillo, Fabrizio, Mantegna, Rosario N.Volume:
9
Language:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697680802512408
Date:
August, 2009
File:
PDF, 918 KB
english, 2009