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~isPartOf:"Physica A: Statistical Mechanics and its Applications"
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Physica A: Statistical Mechanics and its Applications
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Analyzing and modeling 1+1d markets
Challet, Damien
;
Stinchcombe, Robin
- In:
Physica A: Statistical Mechanics and its Applications
300
(
2001
)
1
,
pp. 285-299
We report on a statistical analysis of the Island
ECN
(NASDAQ) order book. We determine the static and dynamic …
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