A New Model for Limit Order Book Dynamics

Volatility and Time Series Econometrics: Essays in Honor of Robert Engle

Volumn , Issue , 2010, Pages

  Russell, Jeffrey R ^a  

^a UNIVERSITY OF CHICAGO   (United States)

Author keywords

Decomposition; Economic variables; Limit order book; Probit model; Volatility

Indexed keywords

EID: 84856748342     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1093/acprof:oso/9780199549498.003.0016     Document Type: Chapter

References (0)