Essays about: "bid queue"
Found 1 essay containing the words bid queue.
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1. Empirical evaluation of a Markovian model in a limit order market
University essay from Matematiska institutionenAbstract : A stochastic model for the dynamics of a limit order book is evaluated and tested on empirical data. Arrival of limit, market and cancellation orders are described in terms of a Markovian queuing system with exponentially distributed occurrences. READ MORE
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