Demand Storage, Market Liquidity, and Price Volatility

Demand Storage, Market Liquidity, and Price Volatility

The limit order book is a device for storing demand and effecting trades that is the primary mechanism for price formation in most modern financial markets. We study the limit order book under a random process model of order flow, using simulations and an analytic treatment based on a master equatio...

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Autors principals:	Daniels, MG, Farmer, J, Iori, G, Smith, E
Format:	Llibre
Publicat:	2013

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