The adaptive nature of liquidity taking in limit order books

Journal of Statistical Mechanics: Theory and Experiment

Volumn 2014, Issue 6, 2014, Pages

  Taranto, D E ^a   Bormetti, G ^a,b   Lillo, F ^a,b,c,d  

^a SCUOLA NORMALE SUPERIORE   (Italy)

^b QUANTLab   (Italy)

^c UNIVERSITY OF PALERMO   (Italy)

^d SANTA FE INSTITUTE   (United States)

Author keywords

financial instruments and regulation; models of financial markets; risk measure and management

Indexed keywords

EID: 84903648191     PISSN: None     EISSN: 17425468     Source Type: Journal    
DOI: 10.1088/1742-5468/2014/06/P06002     Document Type: Article

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