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20122016
most citedNon-Stationarity in Financial Time Series and Generic Features

57 citations · 110 across the 7 of their papers we have counts for

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q-fin.CP2015★ 5 cited

Equilibrium Pricing in an Order Book Environment: Case Study for a Spin Model

Frederik Meudt, Thilo A. Schmitt, Rudi Schäfer +1

When modelling stock market dynamics, the price formation is often based on an equilbrium mechanism. In real stock exchanges, however, the price formation is goverend by the order…