Institute of Information Theory and Automation

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Research Report

Conditional Distribution of the Limit Order Book Given the History of the Best Quote Process

Šmíd Martin

: ÚTIA AV ČR, (Praha 2005)

: Research Report 2126

: CEZ:AV0Z10750506

: GA402/04/1294, GA ČR, GA402/03/H057, GA ČR

: limit order markets, continuous double auction, limit order book

: 05D, 12B

: AH

2019-01-07 08:39