Diffusive behavior and the modeling of characteristic times in limit order executions

Zoltan Eisler, Janos Kertesz, Fabrizio Lillo, Rosario N. Mantegna

    Research output: Contribution to journalArticleScientificpeer-review

    10 Citations (Scopus)
    Original languageEnglish
    Pages (from-to)547-563
    JournalQuantitative Finance
    Volume9
    Issue number5
    Publication statusPublished - 2009
    MoE publication typeA1 Journal article-refereed

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