Statistical Properties of Stock Order Books: Empirical Results and Models
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Elsevier BV
Reference20 articles.
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1. The Deal/Book Split Analysis: A New Method to Disentangle the Contribution to Market and Limit Orders in Any Price Change;SSRN Electronic Journal;2014
2. Convecto-Diffusive Model for Limit Orderbook Microstructure;SSRN Electronic Journal;2014
3. Optimal Limit Order Execution in a Simple Model for Market Microstructure Dynamics;SSRN Electronic Journal;2012
4. High-Frequency Simulations of an Order Book: a Two-scale Approach;New Economic Windows;2011
5. Statistical Properties of Stock Order Books: Empirical Results and Models;SSRN Electronic Journal;2002
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