High-frequency trading in a limit order book

被引：174
|
作者：
Avellaneda, Marco [1 ]
Stoikov, Sasha [1 ]
机构：
[1] NYU, New York, NY 10012 USA
来源：
QUANTITATIVE FINANCE | 2008年 / 8卷 / 03期
关键词：
D O I：
10.1080/14697680701381228
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
[No abstract available]
引用
收藏
页码：217 / 224
页数：8
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