High-frequency trading in a limit order book

Marco Avellaneda, Sasha Stoikov

Research output: Contribution to journalArticlepeer-review

Original languageEnglish (US)
Pages (from-to)217-224
Number of pages8
JournalQuantitative Finance
Volume8
Issue number3
DOIs
StatePublished - Apr 2008

ASJC Scopus subject areas

  • Finance
  • Economics, Econometrics and Finance(all)

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