Continuous-time Modeling of Bid-Ask Spread and Price Dynamics in Limit Order Books¶

Bibliographic record. Follow the original-source link for the publication.

Field	Value
Topics	microstructure, execution_costs
Authors	Jose Blanchet, Xinyun Chen
Published	2013-10-03
Source	arXiv Quantitative Finance History
Identifiers	arxiv:1310.1103
URL	Open original source

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