Scaling Laws for the Market Microstructure of the Interdealer Broker Markets
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References listed on IDEAS
- Seha M. Tinic, 1972. "The Economics of Liquidity Services," The Quarterly Journal of Economics, Oxford University Press, vol. 86(1), pages 79-93.
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- Mike, Szabolcs & Farmer, J. Doyne, 2008.
"An empirical behavioral model of liquidity and volatility,"
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Elsevier, vol. 32(1), pages 200-234, January.
- Szabolcs Mike & J. Doyne Farmer, 2007. "An empirical behavioral model of liquidity and volatility," Papers 0709.0159, arXiv.org.
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- Szabolcs Mike & J. Doyne Farmer, 2005. "An empirical behavioral model of price formation," Papers physics/0509194, arXiv.org, revised Oct 2005.
- Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2013. "Limit order books," Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1709-1742, November.
- Eric Smith & J Doyne Farmer & Laszlo Gillemot & Supriya Krishnamurthy, 2003.
"Statistical theory of the continuous double auction,"
Taylor & Francis Journals, vol. 3(6), pages 481-514.
- Eric Smith & J. Doyne Farmer & Laszlo Gillemot & Supriya Krishnamurthy, 2002. "Statistical theory of the continuous double auction," Papers cond-mat/0210475, arXiv.org.
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"The Virtues and Vices of Equilibrium and the Future of Financial Economics,"
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- J. Doyne Farmer & John Geanakoplos, 2008. "The Virtues and Vices of Equilibrium and the Future of Financial Economics," Cowles Foundation Discussion Papers 1647, Cowles Foundation for Research in Economics, Yale University.
- Hendrik J. Blok, 2000. "On the nature of the stock market: Simulations and experiments," Papers cond-mat/0010211, arXiv.org.
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