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7 - Joint-Queue Dynamics for Large-Tick Stocks
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13 - The Propagator Model
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6 - Interaction
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PART V - PRICE IMPACT
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14 - Generalised Propagator Models
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22 - Market Fairness and Stability
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3 - Agent-Based Models as Recursive Systems
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17 - The Profitability of Market-Making
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Appendix
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4 - Rationality, Behavior, and Expectations
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21 - Optimal Execution
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15 - The Kyle Model
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Preface
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List of Contributors
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9 - Time Clustering and Hawkes Processes
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10 - Epilogue
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20 - The Information Content of Prices
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9 - Estimation of Agent-Based Models
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PART III - LIMIT ORDER BOOKS: MODELS
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