Reduced form modeling of limit order markets
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- Yuri Kabanov, 2009. "Markets with Transaction Costs. Mathematical Theory," Post-Print hal-00488168, HAL.
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- Teemu Pennanen, 2014. "Optimal investment and contingent claim valuation in illiquid markets," Finance and Stochastics, Springer, vol. 18(4), pages 733-754, October.
- repec:eee:ecolet:v:159:y:2017:i:c:p:65-68 is not listed on IDEAS
- repec:eee:finlet:v:21:y:2017:i:c:p:264-271 is not listed on IDEAS
- Lee, Kyungsub & Seo, Byoung Ki, 2017. "Marked Hawkes process modeling of price dynamics and volatility estimation," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 174-200.
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