Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk
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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
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美国国家经济研究局创建时间：
2008-03-01
