A continuous and efficient fundamental price on the discrete order book grid-Reference-Cited by-同舟云学术

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A continuous and efficient fundamental price on the discrete order book grid

Published:2018-08 Issue: Volume:503 Page:698-713
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Bonart Julius,Lillo Fabrizio

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference42 articles.

1. Order arrival, quote behaviour, and the return-generating process;Hasbrouck;J. Finance,1987

2. An empirical analysis of the limit order book and the order flow in the paris bourse;Biais;J. Finance,1995

3. Fluctuations and response in financial markets: The subtle nature of random price changes;Bouchaud;Quant. Finance,2004

4. The long memory of the efficient market;Farmer;Stud. Nonlin. Dynam. Econom.,2004

5. Bid, ask and transaction prices in a specialist market with heterogeneously informed traders;Glosten;J. Financ. Econom.,1985

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Market price determination: Interpreting quote order imbalance under zero-profit equilibrium;Economic Modelling;2024-05

2. The microscopic relationships between triangular arbitrage and cross-currency correlations in a simple agent based model of foreign exchange markets;PLOS ONE;2020-06-24

3. Deep learning for limit order books;Quantitative Finance;2018-11-23

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