Simulating and Analyzing Order Book Data: The Queue-Reactive Model
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Publication:5367351
DOI10.1080/01621459.2014.982278zbMath1373.62519arXiv1312.0563OpenAlexW3126008239MaRDI QIDQ5367351
Mathieu Rosenbaum, Weibing Huang, Charles-Albert Lehalle
Publication date: 13 October 2017
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1312.0563
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