Stochastic Models of Limit Order Markets
During the last two decades most stock and derivatives exchanges in the world transitioned to electronic trading in limit order books, creating a need for a new set of quantitative models to describe these order-driven markets. This dissertation offers a collection of models that provide insight int...
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| Language: | English |
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2013
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| Online Access: | https://doi.org/10.7916/D8C253MB |