Institute of Information Theory and Automation

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Publication details

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

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

Cosati: 05D, 12B


2012-12-21 16:10