Accounting for Strategic Response in Limit Order Book Dynamics
Author:
Publisher
Springer International Publishing
Link
https://link.springer.com/content/pdf/10.1007/978-3-031-21203-1_41
Reference21 articles.
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5. Budish, E., Cramton, P., Shim, J.: The high-frequency trading arms race: frequent batch auctions as a market design response. Q. J. Econ. 130, 1547–1621 (2015)
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