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20132019
most citedSimulating and analyzing order book data: The queue-reactive model

3 citations · 6 across the 3 of their papers we have counts for

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Showing 2019Show all

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q-fin.TR2019

From Glosten-Milgrom to the whole limit order book and applications to financial regulation

Weibing Huang, Sergio Pulido, Mathieu Rosenbaum +2

We build an agent-based model for the order book with three types of market participants: informed trader, noise trader and competitive market makers. Using a Glosten-Milgrom like…