Price dynamics in a markovian limit order market

SIAM Journal on Financial Mathematics

Volumn 4, Issue 1, 2013, Pages 1-25

  Cont, Rama ^a   De Larrard, Adrien ^a  

^a SORBONNE UNIVERSITÉ   (France)

Author keywords

Diffusion limit; Duration analysis; High frequency data; Limit order book; Liquidity; Market microstructure; Point process; Queueing

Indexed keywords

EID: 84885119716     PISSN: None     EISSN: 1945497X     Source Type: Journal    
DOI: 10.1137/110856605     Document Type: Article

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