A Fokker-Planck description for the queue dynamics of large tick stocks
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References listed on IDEAS
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- Julius Bonart & Martin Gould, 2015. "Latency and liquidity provision in a limit order book," Papers 1511.04116, arXiv.org, revised Jun 2016.
- Iacopo Mastromatteo, 2014. "Apparent impact: the hidden cost of one-shot trades," Papers 1409.8497, arXiv.org, revised Jun 2015.
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"Simulating and Analyzing Order Book Data: The Queue-Reactive Model,"
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-04-27 (All new papers)
- NEP-FMK-2013-04-27 (Financial Markets)
- NEP-MST-2013-04-27 (Market Microstructure)
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