A Point Process Model for the Dynamics of Limit Order Books
This thesis focuses on the statistical modeling of the dynamics of limit order books in electronic equity markets. The statistical properties of events affecting a limit order book -market orders, limit orders and cancellations- reveal strong evidence of clustering in time, cross-correlation across...
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| Language: | English |
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2014
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| Online Access: | https://doi.org/10.7916/D88913WW |