39 results
7 - Joint-Queue Dynamics for Large-Tick Stocks
- from PART III - LIMIT ORDER BOOKS: MODELS
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- 26 February 2018
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- 22 March 2018, pp 117-133
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13 - The Propagator Model
- from PART VI - MARKET DYNAMICS AT THE MICRO-SCALE
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- 26 February 2018
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- 22 March 2018, pp 249-269
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PART V - PRICE IMPACT
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- 26 February 2018
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- 22 March 2018, pp 205-207
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14 - Generalised Propagator Models
- from PART VI - MARKET DYNAMICS AT THE MICRO-SCALE
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- 26 February 2018
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- 22 March 2018, pp 270-286
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22 - Market Fairness and Stability
- from PART IX - PRACTICAL CONSEQUENCES
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- 26 February 2018
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- 22 March 2018, pp 406-421
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17 - The Profitability of Market-Making
- from PART VII - ADVERSE SELECTION AND LIQUIDITY PROVISION
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- 22 March 2018, pp 319-332
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Appendix
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- 22 March 2018, pp 422-440
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21 - Optimal Execution
- from PART IX - PRACTICAL CONSEQUENCES
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- 22 March 2018, pp 384-405
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15 - The Kyle Model
- from PART VII - ADVERSE SELECTION AND LIQUIDITY PROVISION
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- 22 March 2018, pp 290-297
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Preface
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- 22 March 2018, pp xiii-xvi
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9 - Time Clustering and Hawkes Processes
- from PART IV - CLUSTERING AND CORRELATIONS
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- 26 February 2018
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- 22 March 2018, pp 163-186
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20 - The Information Content of Prices
- from PART VIII - MARKET DYNAMICS AT THE MESO-SCALE
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- 26 February 2018
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- 22 March 2018, pp 366-380
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PART III - LIMIT ORDER BOOKS: MODELS
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- 26 February 2018
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- 22 March 2018, pp 75-77
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Dedication
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- 22 March 2018, pp v-vi
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2 - The Statistics of Price Changes: An Informal Primer
- from PART I - HOW AND WHY DO PRICES MOVE?
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- 22 March 2018, pp 22-40
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1 - The Ecology of Financial Markets
- from PART I - HOW AND WHY DO PRICES MOVE?
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- 22 March 2018, pp 5-21
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4 - Empirical Properties of Limit Order Books
- from PART II - LIMIT ORDER BOOKS: INTRODUCTION
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- 26 February 2018
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- 22 March 2018, pp 58-74
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3 - Limit Order Books
- from PART II - LIMIT ORDER BOOKS: INTRODUCTION
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- 22 March 2018, pp 44-57
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PART I - HOW AND WHY DO PRICES MOVE?
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- 22 March 2018, pp 1-4
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PART IV - CLUSTERING AND CORRELATIONS
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- 22 March 2018, pp 159-162
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