Limit order books

DOI10.1080/14697688.2013.803148zbMath1284.91584arXiv1012.0349OpenAlexW3121195520MaRDI QIDQ2871425

Daniel J. Fenn, Mason A. Porter, Stacy Williams, Martin Gould, Mark McDonald, S. D. Howison

Publication date: 23 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1012.0349

zbMATH Keywords

modellingdata analysiscomplex systemsstylized factslimit order books

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)

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