Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk
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下载链接：
https://www.nber.org/papers/w13848
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资源简介：
This paper builds on the landmark contribution of Glosten (1994) by treating the determination of limit order supply schedules as an exercise in asset pricing theory with the possible sizes of incoming market orders as the value-relevant states of nature, yielding an analogue of the Fundamental
提供机构：
美国国家经济研究局
创建时间：
2008-03-01
