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Price dynamics in a Markovian limit order market
File | Description | Size | Format | |
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![]() | 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 |