"Endogenous Formation of Limit Order Books: Dynamics Between Trades."

Roman Gayduk, Sergey Nadtochiy (2018)

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DOI: 10.1137/16M1078045

access: closed

type: Journal Article

metadata version: 2020-07-09

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Roman Gayduk, Sergey Nadtochiy:
Endogenous Formation of Limit Order Books: Dynamics Between Trades. SIAM J. Control. Optim. 56(3): 1577-1619 (2018)

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