Limit order books and order-driven markets form one of the main fields in market microstructure, an area which has triggered a considerable amount of interest amongst both researchers and market practitioners. This text is devoted to the statistical, mathematical and numerical aspects of limit order books.
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‘Limit Order Books - Abergel, Frederic, Anane, Marouane, Chakraborti, Anirban (Jawaharlal Nehru University), Jedidi, Aymen’.
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