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Volumn 58, Issue 3, 2010, Pages 549-563

A stochastic model for order book dynamics

Author keywords

[No Author keywords available]

Indexed keywords

ANALYTICAL TRACTABILITY; CONTINUOUS TIME; EMPIRICAL PROPERTIES; FAST COMPUTATION; HIGH FREQUENCY DATA; HIGH FREQUENCY HF; LAPLACE TRANSFORM METHOD; LIMIT ORDER BOOK; MATRIX COMPUTATION; ORDER BOOK; TOKYO STOCK EXCHANGE; TRADING STRATEGIES;

EID: 77953582022     PISSN: 0030364X     EISSN: 15265463     Source Type: Journal    
DOI: 10.1287/opre.1090.0780     Document Type: Article
Times cited : (322)

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