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Journal Articles Operations Research Year : 2010

A stochastic model for order book dynamics

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S. Stoikov
  • Function : Author
R. Talreja
  • Function : Author
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Dates and versions

hal-00497666 , version 1 (05-07-2010)

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  • HAL Id : hal-00497666 , version 1

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R. Cont, S. Stoikov, R. Talreja. A stochastic model for order book dynamics. Operations Research, 2010, 58 (3), pp.549-563. ⟨hal-00497666⟩
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