Martin Magris, Jiyeong Kim, Esa Räsänen, Juho Kanniainen. Long-range auto-correlations in limit order book markets: Inter-and cross-event analysis. In 2017 IEEE Symposium Series on Computational Intelligence, SSCI 2017, Honolulu, HI, USA, November 27 - Dec. 1, 2017. pages 1-7, IEEE, 2017. [doi]
Abstract is missing.