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Capturing order book dynamics with Kalman filters

Jian Jiang, Wing Lon Ng. Capturing order book dynamics with Kalman filters. In International Conference on Networked Computing and Advanced Information Management, NCM 2010, Sixth International Joint Conference on INC, IMS and IDC: INC 2010: International Conference on Networked Computing, IMS 2010: International Conference on Advan. pages 428-433, IEEE Computer Society, 2010. [doi]

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