A limit order book model for latency arbitrage
Work
Year: 2012
Type: article
Authors Samuel N. Cohen, Łukasz Szpruch
Institution University of Oxford
Cites: 35
Cited by: 18
Related to: 10
FWCI: 2.39
Citation percentile (by year/subfield): 84.05
Subfield: Finance
Domain: Social Sciences
Open Access status: closed