An order flow model and a liquidity measure of financial markets

An order flow model and a liquidity measure of financial markets

Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2008. === Includes bibliographical references (leaves 151-157). === The thesis seeks a better understanding of liquidity generation process of financial markets and attempts to find a quanti...

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Bibliographic Details
Main Author: Kim, Adlar Jeewook
Other Authors: Tomaso Poggio, Andrew W. Lo and J. Doyne Farmer.
Format: Others
Language:English
Published: Massachusetts Institute of Technology 2009
Subjects:
Electrical Engineering and Computer Science.
Online Access:http://hdl.handle.net/1721.1/45884

Internet

http://hdl.handle.net/1721.1/45884

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