Fundamentalists Clashing over the Book: A Study of Order-Driven Stock Markets
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- Marco Licalzi & Paolo Pellizzari, 2003. "Fundamentalists clashing over the book: a study of order-driven stock markets," Quantitative Finance, Taylor & Francis Journals, vol. 3(6), pages 470-480.
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More about this item
Keywordsprice dynamics; statistical properties of returns; behavioral and structural assumptions; agent-based simulations;
- G19 - Financial Economics - - General Financial Markets - - - Other
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-FMK-2002-07-31 (Financial Markets)
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