Rebuilding the limit order book: sequential Bayesian inference on hidden states (2013)

First Author: Christensen H
Attributed to:  BTaRoT: Bayesian Tracking and Reasoning over Time funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1080/14697688.2013.851402

Publication URI: http://dx.doi.org/10.1080/14697688.2013.851402

Type: Journal Article/Review

Parent Publication: Quantitative Finance

Issue: 11

ISSN: 14697688