Price fluctuations from the order book perspective - empirical facts and a simple model (Q5947885)

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scientific article; zbMATH DE number 1666251
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Price fluctuations from the order book perspective - empirical facts and a simple model
scientific article; zbMATH DE number 1666251

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    Price fluctuations from the order book perspective - empirical facts and a simple model (English)
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    23 October 2001
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    transaction size distributions
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    nonlinear size dependence
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    limit order number imbalance
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