Econometric Models of Limit-Order Executions

Andrew Lo (), A. Craig MacKinlay and June Zhang

Rodney L. White Center for Financial Research Working Papers from Wharton School Rodney L. White Center for Financial Research

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Related works:
Journal Article: Econometric models of limit-order executions (2002)
Working Paper: Econometric Models of Limit-Order Executions (1997)
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