Trading Game Invariance in the TAQ Dataset

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Trading Game Invariance in the TAQ Dataset

Kyle, Albert S., Obizhaeva, Anna A., Tuzun, Tugkan
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Year:
2012
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.1107875
File:
PDF, 3.04 MB
english, 2012
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