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Capital Fund Management
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price impact, market orders, limit orders, cancellations, market microstructure, order flow
Financial markets, market microstructure, limit order book, order flow, behavioural economics
random diffusion, hidden markov process, stochastic volatility
financial markets, market microstructure, limit order book, order flow, behavioural economics
order books, double auction, random walk, econophysics
Market impact
Price Impact, Market Microstructure, Credit, Order Flow