Quasi-centralized limit order books-Reference-Cited by-同舟云学术

Quasi-centralized limit order books

Published:2017-01-09 Issue:6 Volume:17 Page:831-853
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Gould Martin D.¹,Porter Mason A.²³⁴,Howison Sam D.²⁵

Affiliation:

1. Imperial College, CFM–Imperial Institute of Quantitative Finance, London, SW7 2AZUK.

2. Oxford Centre for Industrial and Applied Mathematics, Mathematical Institute, University of Oxford, Oxford, OX2 6GGUK.

3. CABDyN Complexity Centre, University of Oxford, Oxford, OX1 1HPUK.

4. Department of Mathematics, University of California, Los Angeles, CA, 90095USA.

5. Oxford–Man Institute of Quantitative Finance, University of Oxford, Oxford, OX2 6EDUK.

Funder

Engineering and Physical Sciences Research Council

James S. McDonnell Foundation

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2016.1247980

Reference58 articles.

1. Markets change every day: Evidence from the memory of trade direction

2. Bank for International Settlements. Triennial Central Bank Survey: Report on global foreign exchange market activity in 2010. Technical report. Bank for International Settlements, 2010. Available at http://www.bis.org/publ/rpfxf10t.pdf.

3. Biais, B., Foucault, T. and Moinas, S., Equilibrium high-frequency trading. Working Paper, SSRN eLibrary ID 1834344, 2011.

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