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High-frequency trading in a limit order book

Authors: Marco Avellaneda a; Sasha Stoikov a
Affiliation:   a Mathematics, New York University, New York, NY 10012, USA
DOI: 10.1080/14697680701381228
Publication Frequency: 8 issues per year
Published in: journal Quantitative Finance, Volume 8, Issue 3 April 2008 , pages 217 - 224
Formats available: HTML (English) : PDF (English)
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Abstract

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