"A Stochastic Model for Order Book Dynamics."

Rama Cont, Sasha Stoikov, Rishi Talreja (2010)

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DOI: 10.1287/OPRE.1090.0780

access: closed

type: Journal Article

metadata version: 2020-03-31

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Rama Cont, Sasha Stoikov, Rishi Talreja:
A Stochastic Model for Order Book Dynamics. Oper. Res. 58(3): 549-563 (2010)

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