Simulating and analyzing order book data: the queue-reactive model
Huang, W. ; Lehalle, C.A. ; Rosenbaum, M.
HAL, hal-01172326 / Harvested from HAL
Text on HAL
International audience
Publié le : 2015-07-04
Classification:  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] 
@article{hal-01172326,
     author = {Huang, W. and Lehalle, C.A. and Rosenbaum, M.},
     title = {Simulating and analyzing order book data: the queue-reactive model},
     journal = {HAL},
     volume = {2015},
     number = {0},
     year = {2015},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-01172326}
}

Huang, W.; Lehalle, C.A.; Rosenbaum, M. Simulating and analyzing order book data: the queue-reactive model. HAL, Tome 2015 (2015) no. 0, . http://gdmltest.u-ga.fr/item/hal-01172326/