Fundamentalists clashing over the book: a study of order-driven stock markets

DOI10.1088/1469-7688/3/6/306zbMath1405.91561OpenAlexW2095954572MaRDI QIDQ4647292

Paolo Pellizzari, Marco Li Calzi

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10278/11390

zbMATH Keywords

trading mechanismorder-driven stock marketstock markets dynamics

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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