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This paper focuses on an extension of the Limit Order Book (LOB) model with general shape introduced by Alfonsi, Fruth and Schied. Here, the additional feature allows a time-varying LOB depth. We solv...
We show that the statistics of spreads in real order books is character-ized by an intrinsic asymmetry due to discreteness effects for even or odd values of the spread. An analysis of data from the NY...
We have analyzed the statistical probabilities of limit-order book (LOB) shape through building the book using the ultra-high-frequency data from 23 liquid stocks traded on the Shenzhen Stock Exchange...

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