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Rama Cont, Pierre Degond, Lifan Xuan. A Mathematical Framework for Modeling Order Book Dynamics. SIAM J. Financial Math., 16(1):123-166, 2025. [doi]
Possibly Related PublicationsThe following publications are possibly variants of this publication: A Stochastic Model for Order Book DynamicsRama Cont, Sasha Stoikov, Rishi Talreja. ior, 58(3):549-563, 2010. [doi]
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