Conditional Distribution of the Limit Order Book Given the History of the Best Quote Process
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References listed on IDEAS
- 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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Keywordslimit order markets; continuous double auction; limit order book; conditional distribution; immigration-death process;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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