Asynchronous Simulations of a Limit Order Book - Gilles Daniel
Asynchronous Simulations of a Limit Order Book - Gilles Daniel
Asynchronous Simulations of a Limit Order Book - Gilles Daniel
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Contributions<br />
Attract the attention <strong>of</strong> the scientific<br />
community on the relevance <strong>of</strong><br />
modelling the market microstructure.<br />
Propose a disequilibrium model <strong>of</strong> price<br />
formation:<br />
- micr<strong>of</strong>ounded<br />
- endogenous<br />
- consistent with empirical data<br />
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