scholarly journals A continuous and efficient fundamental price on the discrete order book grid

2018 ◽  
Vol 503 ◽  
pp. 698-713 ◽  
Author(s):  
Julius Bonart ◽  
Fabrizio Lillo
Keyword(s):  
Order Book ◽  
Fundamental Price

A multilayer model of order book dynamics

2016 ◽  
Vol 2 (3) ◽  
pp. 37-52 ◽  
Author(s):  
Alessio Emanuele Biondo ◽  
Alessandro Pluchino ◽  
Andrea Rapisarda
Keyword(s):  
Order Book ◽  
Multilayer Model

Predicting Liquidity from Order Book Data

2004 ◽  
Author(s):  
Knut Griese ◽  
Alexander Kempf
Keyword(s):  
Order Book

Volatility Regimes and the Provision of Liquidity in Order Book Markets

2004 ◽  
Author(s):  
Helena M. Beltran-Lopez ◽  
Alain C. J. Durré ◽  
Pierre Giot
Keyword(s):  
Order Book ◽  
Volatility Regimes ◽  
Book Markets
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