Price fluctuations from the order book perspective—empirical facts and a simple model
Year of publication: |
2001
|
---|---|
Authors: | Maslov, Sergei ; Mills, Mark |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 299.2001, 1, p. 234-246
|
Publisher: |
Elsevier |
Subject: | Limit order | Order book | Price fluctuations | High-frequency data |
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