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A stochastic model for order book dynamics
FREE ARTICLE We propose a stochastic model for the continuous-time dynamics of a limit order book. The model strikes a balance between two desirable features: it captures key empirical properties of order book dynamics and its analytical tractability allows for fa read this
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Excerpt from "Quality Money Management" by Andrew Kumiega and Benjamin Van Vliet
FREE ARTICLE As the competition to produce and quickly deploy profitable trading models continues to increase, many participants are starting to pay more attention to refining their model development process. In the first of three excerpts from their book "Qualit read this