Heavy-tailed features and dependence in limit order book volume profiles in futures markets

Kylie-Anne Richards, Gareth W. Peters, William Dunsmuir

Research output: Contribution to journalArticle

Original languageEnglish
Pages (from-to)1550033
JournalInternational Journal of Financial Engineering
Volume2
Issue number3
DOIs
Publication statusPublished - 1 Sep 2015

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