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: 18 May 2016 19:26
Last Modified: 25 Jul 2016 08:10
DOI: