Tzu-Wei Yang

University of Minnesota - Twin Cities - School of Mathematics

Minneapolis, MN 55455

United States

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A Reduced-Form Model for Level-1 Limit Order Books

Number of pages: 30 Posted: 31 Aug 2015 Last Revised: 20 Oct 2015
Tzu-Wei Yang and Lingjiong Zhu
University of Minnesota - Twin Cities - School of Mathematics and Florida State University
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Abstract:

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limit order books, data analysis, reduced form models, diffusion approximations