Price Dynamics in a Markovian Limit Order Market
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DOI: 10.1137/110856605
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More about this item
Keywords
limit order book; market microstructure; queueing; diffusion limit; high-frequency data; liquidity; duration analysis; point process;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2013-03-23 (Financial Markets)
- NEP-MST-2013-03-23 (Market Microstructure)
- NEP-ORE-2013-03-23 (Operations Research)
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