Diffusive behavior and the modeling of characteristic times in limit order executions

Quantitative Finance

Volumn 9, Issue 5, 2009, Pages 547-563

  Eisler, Zoltán ^a,b   Kertész, János ^b,c   Lillo, Fabrizio ^d,e,f   Mantegna, Rosario N ^d,f  

^a Science and Finance   (France)

^b BUDAPEST UNIVERSITY OF TECHNOLOGY AND ECONOMICS   (Hungary)

^c AALTO UNIVERSITY   (Finland)

^d UNIVERSITY OF PALERMO   (Italy)

^e SANTA FE INSTITUTE   (United States)

^f INFM   (Italy)

Author keywords

Censored data; Econophysics; First passage time; Limit order market; Microstructure; Time to fill

Indexed keywords

EID: 68949160224     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680802512408     Document Type: Article

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