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7 - Joint-Queue Dynamics for Large-Tick Stocks

from PART III - LIMIT ORDER BOOKS: MODELS

Published online by Cambridge University Press:  26 February 2018

Jean-Philippe Bouchaud ,
Julius Bonart ,
Jonathan Donier  and
Martin Gould
Jean-Philippe Bouchaud
Affiliation:
Capital Fund Management, Paris
Julius Bonart
Affiliation:
University College London
Jonathan Donier
Affiliation:
Capital Fund Management
Martin Gould
Affiliation:
CFM - Imperial Institute of Quantitative Finance
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Chapter
Information
Trades, Quotes and Prices
Financial Markets Under the Microscope
 , pp. 117 - 133
Publisher: Cambridge University Press
Print publication year: 2018

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References

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Garèche, A., Disdier, G., Kockelkoren, J., & Bouchaud, J. P. (2013). Fokker-Planck description for the queue dynamics of large-tick stocks. Physical Review E, 88(3), 032809.CrossRefGoogle ScholarPubMed
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