"Capturing order book dynamics with Kalman filters."

Jian Jiang, Wing Lon Ng (2010)

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DOI: —

access: closed

type: Conference or Workshop Paper

metadata version: 2021-08-11

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  dblp key:
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Jian Jiang, Wing Lon Ng:
Capturing order book dynamics with Kalman filters. NCM 2010: 428-433

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