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Effects of the Limit Order Book on Price Dynamics
Cenesizoglu, Tolga; Dionne, Georges; Zhou, Xiaozhou
Issue Date : 2014-11

Liquidity-adjusted Intraday Value at Risk Modeling and Risk Management: an Application to Data from Deutsche Börse
Dionne, Georges; Pacurar, Maria; Zhou, Xiaozhou
Issue Date : 2014-03

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