"A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading ..."

Frank Kelly, Elena Yudovina (2018)

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DOI: 10.1287/MOOR.2017.0857

access: closed

type: Journal Article

metadata version: 2018-09-13

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Frank Kelly, Elena Yudovina:
A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies. Math. Oper. Res. 43(1): 181-203 (2018)

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