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Price dynamics in a Markovian limit order market
| File | Description | Size | Format | |
|---|---|---|---|---|
 1104.4596v1.pdf | Accepted version | 664.14 kB | Adobe PDF | View/Open |
| Title: | Price dynamics in a Markovian limit order market |
| Authors: | Cont, R De Larrard, A |
| Item Type: | Journal Article |
| Issue Date: | 24-Apr-2011 |
| URI: | http://hdl.handle.net/10044/1/10538 |
| DOI: | http://dx.doi.org/10.1137/110856605 |
| ISSN: | 1945-497X |
| Publisher: | SIAM |
| Start Page: | 1 |
| End Page: | 25 |
| Journal / Book Title: | SIAM Journal on Financial Mathematics |
| Volume: | 4 |
| Issue: | 1 |
| Copyright Statement: | © 2013, Society for Industrial and Applied Mathematics |
| Notes: | 18 pages, 5 figures |
| Publication Status: | Published |
| Publisher URL: | http://dx.doi.org/10.1137/110856605 |
| Appears in Collections: | Financial Mathematics Mathematics |