Order execution probability and order queue in limit order markets (Q2220431): Difference between revisions

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+Competing Mechanisms in a Common Value Environment
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+Optimal order placement in limit order markets
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+Empirical Analysis of Limit Order Markets
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+Statistical theory of the continuous double auction
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+THE OPINION GAME: STOCK PRICE EVOLUTION FROM MICROSCOPIC MARKET MODELING
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+A steady-state model of the continuous double auction
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+Price fluctuations from the order book perspective - empirical facts and a simple model
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+A Stochastic Model for Order Book Dynamics
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+Price Dynamics in a Markovian Limit Order Market
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+Optimal Execution in a General One-Sided Limit-Order Book
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+GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION
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+OPTIMAL HIGH‐FREQUENCY TRADING IN A PRO RATA MICROSTRUCTURE WITH PREDICTIVE INFORMATION
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+Optimal placement in a limit order book: an analytical approach
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