Price-Time Priority and Pro Rata Matching in an Order Book Model of Financial Markets
Author:
Publisher
Springer Milan
Link
http://link.springer.com/content/pdf/10.1007/978-88-470-1766-5_5
Reference8 articles.
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5. Maslov S, Mills M (2001) Price fluctuations from the order book perspective — empirical facts and a simple model. Physica A 299:234–246
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