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April 2, 2009Review of Financial StudiesOpen Access

A Dynamic Model of the Limit Order Book

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IRIoanid Roşu

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Ioanid Roşu (2009) studied this question.

synapsesocial.com/papers/6a91a77c4e5655830fe3c6achttps://doi.org/10.1093/rfs/hhp011
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Also Consider

Synapse has enriched 2 closely related papers on similar clinical questions. Consider them for comparative context:

  1. 1Price Dynamics in Limit Order Markets1998 · 625 citations
  2. 2Extensive Form Games in Continuous Time: Pure Strategies1989 · 256 citations