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"Price Dynamics in a Markovian Limit Order Market."

Rama Cont, Adrien de Larrard (2013)

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DOI: 10.1137/110856605

access: closed

type: Journal Article

metadata version: 2017-06-08

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Rama Cont, Adrien de Larrard:
Price Dynamics in a Markovian Limit Order Market. SIAM J. Financial Math. 4(1): 1-25 (2013)

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