Statistical properties of stock order books: empirical results and models
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Publication:4646786
DOI10.1088/1469-7688/2/4/301zbMath1408.62172arXivcond-mat/0203511MaRDI QIDQ4646786
Marc Potters, Jean-Philippe Bouchaud, Marc Mézard
Publication date: 14 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/cond-mat/0203511
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
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