Open AccessArbitrage-free Limit Order Books and the Pricing of Order Flow Risk
Author(s) -
Bruce N. Lehmann
Publication year - 2008
Language(s) - English
Resource type - Reports
DOI - 10.3386/w13848
Subject(s) - order (exchange) , arbitrage , limit (mathematics) , order book , economics , flow (mathematics) , financial economics , econometrics , mathematical economics , mathematics , finance , mathematical analysis , geometry
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom