Ciamac Moallemi

A multiclass model of limit order book dynamics and its application to optimal trade execution

Coauthor(s): Costis Maglaras.
Source: Working paper
Exact Citation:
Maglaras, Costis, and Ciamac Moallemi. "A multiclass model of limit order book dynamics and its application to optimal trade execution." Working paper, Columbia Business School, February 15, 2011.
Date: 15 2 2011