A model of limit-order book dynamics and a consistent estimation procedure
L Zhao - 2010 - search.proquest.com
A limit order is an order to buy or sell a certain number of shares of a financial instrument at a specified price or better. A market’s limit order book collects all its outstanding limit orders, …
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A limit order is an order to buy or sell a certain number of shares of a financial instrument at a specified price or better. A market’s limit order book collects all its outstanding limit orders, …