Diffusive behavior and the modeling of characteristic times in limit order executions (Q3645197)
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scientific article; zbMATH DE number 5633778
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| default for all languages | No label defined |
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| English | Diffusive behavior and the modeling of characteristic times in limit order executions |
scientific article; zbMATH DE number 5633778 |
Statements
Diffusive behavior and the modeling of characteristic times in limit order executions (English)
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16 November 2009
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econophysics
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limit order market
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microstructure
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first passage time
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censored data
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time to fill
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0.760206401348114
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0.7496488690376282
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0.7469793558120728
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0.7422223687171936
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0.7393432855606079
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