Incorporating positions into asset pricing models with order-based strategies
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Volume (Year): 3 (2008)
Issue (Month): 2 (December)
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Tinbergen Institute Discussion Papers
05-056/1, Tinbergen Institute.
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- Bradfield, James, 1979. "A Formal Dynamic Model of Market Making," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(02), pages 275-291, June.
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- LeBaron, Blake, 2006. "Agent-based Computational Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 24, pages 1187-1233 Elsevier.
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