Modelling empirical features and liquidity resilience in the Limit Order Book
The contribution of this body of work is in developing new methods for modelling interactions in modern financial markets and understanding the origins of pervasive features of trading data. The advent of electronic trading and the improvement in trading technology has brought about vast changes in...
| Main Author: | |
|---|---|
| Published: |
University College London (University of London)
2015
|
| Subjects: | |
| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.668451 |