CUED Publications database

Rebuilding the limit order book: sequential Bayesian inference on hidden states

Christensen, HL and Turner, RE and Hill, SI and Godsill, SJ (2013) Rebuilding the limit order book: sequential Bayesian inference on hidden states. Quantitative Finance. ISSN 1469-7688

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Item Type: Article
Subjects: UNSPECIFIED
Divisions: Div F > Signal Processing and Communications
Depositing User: Cron job
Date Deposited: 04 Feb 2015 22:50
Last Modified: 05 Feb 2015 06:46
DOI: