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

Research Report

Šmíd Martin

publisher: ÚTIA AV ČR, (Praha 2005)

edition: Research Report 2126

research: CEZ:AV0Z10750506

project(s): GA402/04/1294GA ČR, GA402/03/H057GA ČR

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

Cosati: 05D, 12B

RIV: AH