most citedKullback-Leibler distance as a measure of the information filtered from multivariate data

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physics.soc-ph2007

Diffusive behavior and the modeling of characteristic times in limit order executions

Zoltan Eisler, Janos Kertesz, Fabrizio Lillo +1

We present an empirical study of the first passage time (FPT) of order book prices needed to observe a prescribed price change Delta, the time to fill (TTF) for executed limit orde…