Rama Cont, Sasha Stoikov, Rishi Talreja. A Stochastic Model for Order Book Dynamics. Operations Research, 58(3):549-563, 2010. [doi]
@article{ContST10,
title = {A Stochastic Model for Order Book Dynamics},
author = {Rama Cont and Sasha Stoikov and Rishi Talreja},
year = {2010},
doi = {10.1287/opre.1090.0780},
url = {http://dx.doi.org/10.1287/opre.1090.0780},
tags = {meta-model, Meta-Environment},
researchr = {https://researchr.org/publication/ContST10},
cites = {0},
citedby = {0},
journal = {Operations Research},
volume = {58},
number = {3},
pages = {549-563},
}