Conditional Distribution of the Limit Order Book Given the History of the Best Quote Process
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More about this item
Keywords
limit order markets; continuous double auction; limit order book; conditional distribution; immigration-death process;All these keywords.
JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FIN-2005-04-16 (Finance)
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