"When to Cross the Spread? Trading in Two-Sided Limit Order Books."

Ulrich Horst, Felix Naujokat (2014)

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DOI: 10.1137/110849341

access: closed

type: Journal Article

metadata version: 2017-05-17

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Ulrich Horst, Felix Naujokat:
When to Cross the Spread? Trading in Two-Sided Limit Order Books. SIAM J. Financial Math. 5(1): 278-315 (2014)

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