The Tick-by-Tick Dynamical Consistency of Price Impact in Limit Order Books

Author: Challet Damien  

Publisher: Routledge Ltd

ISSN: 1466-4313

Source: Applied Mathematical Finance, Vol.18, Iss.3, 2011-07, pp. : 189-205

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract