Measuring the resiliency of an electronic limit order book

Journal of Financial Markets

Volumn 10, Issue 1, 2007, Pages 1-25

  Large, Jeremy ^a  

^a ALL SOULS COLLEGE   (United Kingdom)

Author keywords

Conditional intensity; Limit order book; Market microstructure; Point process; Resiliency

Indexed keywords

EID: 33846297715     PISSN: 13864181     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.finmar.2006.09.001     Document Type: Article

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