Fill Probabilities in a Limit Order Book with State-Dependent Stochastic Order Flows

Fuente: arXiv

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Bibliographic Details
Main Authors:	Lokin, Felix, Yu, Fenghui
Format:	Preprint
Published:	2024
Subjects:	Trading and Market Microstructure Probability Computational Finance 60K30, 60G55, 60J27, 65C20
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2403.02572