By the same authors

A simple two-component model for the distribution of intraday returns

Research output: Chapter in Book/Report/Conference proceedingChapter (peer-reviewed)

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Publication details

Title of host publicationHigh frequency trading and limit order book dynamics
DatePublished - 24 Nov 2014
Pages43-65
PublisherRoutledge
EditorsIngmar Nolte, Mark Salmon, Chris Adcock
Original languageEnglish
ISBN (Print)9781138829381, 9781317570769

Bibliographical note

Reprint from European Journal of Finance, 18(9), 775-797, 2012.

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