Extracting information from the limit order book: New...

Extracting information from the limit order book: New measures to evaluate equity data flow

Ye, Ziwen, Florescu, Ionuţ
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Volume:
2
Journal:
High Frequency
DOI:
10.1002/hf2.10029
Date:
February, 2019
File:
PDF, 368 KB
2019
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