A Stochastic Model for Order Book Dynamics

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SSRN Electronic Journal 2008

A Stochastic Model for Order Book Dynamics

Cont, Rama, Stoikov, Sasha, Talreja, Rishi
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Year:
2008
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.1273160
File:
PDF, 486 KB
english, 2008
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