Continuous-time Modeling of Bid-Ask Spread and Price Dynamics in Limit Order Books
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References listed on IDEAS
- Hautsch, Nikolaus & Huang, Ruihong, 2012.
"The market impact of a limit order,"
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- repec:eee:phsmap:v:485:y:2017:i:c:p:61-72 is not listed on IDEAS
- Ulrich Horst & Dorte Kreher, 2017. "Second order approximations for limit order books," Papers 1708.07394, arXiv.org, revised Mar 2018.
- Xin Guo & Zhao Ruan & Lingjiong Zhu, 2015. "Dynamics of Order Positions and Related Queues in a Limit Order Book," Papers 1505.04810, arXiv.org, revised Oct 2015.
- Xuefeng Gao & S. J. Deng, 2014. "Hydrodynamic limit of order book dynamics," Papers 1411.7502, arXiv.org, revised Feb 2016.
- Justin Sirignano, 2016. "Deep Learning for Limit Order Books," Papers 1601.01987, arXiv.org, revised Jul 2016.
- Enrico Scalas & Fabio Rapallo & Tijana Radivojevi'c, 2016. "Low-traffic limit and first-passage times for a simple model of the continuous double auction," Papers 1603.09666, arXiv.org.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-10-11 (All new papers)
- NEP-FMK-2013-10-11 (Financial Markets)
- NEP-MST-2013-10-11 (Market Microstructure)
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