Reduced form modeling of limit order markets (Q2873532)

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Reduced form modeling of limit order markets
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    title
    Reduced form modeling of limit order markets (English)
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    author
    Pekka Malo
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    Teemu Pennanen
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    publication date
    24 January 2014
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    Mathematics Subject Classification ID
    91G70
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    91B24
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    91B70
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    zbMATH DE Number
    6250073
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    zbMATH Keywords
    limit order market
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    liquidity modelling
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    trading costs
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    stochastic models
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    OpenAlex ID
    W2094154574
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