Reduced form modeling of limit order markets

Pekka Malo, Teemu Pennanen

Research output: Contribution to journal › Article › Scientific › peer-review

12 Citations (Scopus)

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@article{3b04fb736abb4176a079c3801e6ff9a0,

title = "Reduced form modeling of limit order markets",

author = "Pekka Malo and Teemu Pennanen",

year = "2012",

doi = "10.1080/14697688.2011.589402",

language = "English",

volume = "12",

pages = "1025--1036",

journal = "Quantitative Finance",

issn = "1469-7688",

publisher = "Institute of Physics Publishing",

number = "7",

}