https://econpapers.repec.org/paper/haljournl/hal-02465428.htm?ref=nep-mst
EconPapers: Marked point processes and intensity ratios for limit order book modeling
By Ioane Muni Toke and Nakahiro Yoshida; Abstract: This paper extends the analysis of Muni Toke and Yoshida (2020) to the case of marked point processes. We...
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https://www.quantconnect.com/forum/discussion/1260/historical-data-on-limit-order-book/
Historical data on limit order book - QuantConnect.com
Seeking sources for historical limit order book data for multi-exchanges.
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https://techaroha.com/tag/central-limit-order-book/
central limit order book Archives - Techaroha
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https://researchportal.ip-paris.fr/fr/publications/how-does-latent-liquidity-get-revealed-in-the-limit-order-book/
How does latent liquidity get revealed in the limit order book? - Institut Polytechnique de Paris
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https://econpapers.repec.org/paper/arxpapers/2403.02572.htm?ref=nep-mst
EconPapers: Fill Probabilities in a Limit Order Book with State-Dependent Stochastic Order Flows
By Felix Lokin and Fenghui Yu; Abstract: This paper studies the fill probabilities of limit orders placed at different price levels in a limit order book.
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