A Model of Market Limit Orders By Stochastic PDE's, Parameter Estimation, and Investment Optimization
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-11-03 (All new papers)
- NEP-ECM-2012-11-03 (Econometrics)
- NEP-MST-2012-11-03 (Market Microstructure)
- NEP-UPT-2012-11-03 (Utility Models & Prospect Theory)
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