We examine the dynamics of the limit order book recovery in the purely order-driven markets. The configuration of the current limit placements in the order book determines the costs over the mid-quote for the buy and sell trades. By analyzing the relationship between the costs of the possible...

This book is a tutorial guide for new users that aims to help you understand the basics of and become accomplished with the use of R for quantitative finance.If you are looking to use R to solve problems in quantitative finance, then this book is for you. A basic knowledge of financial theory is...