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Publications by Ioanid Roşu

A Dynamic Model of the Limit Order Book

Review of Financial Studies
AccountingEconomicsEconometricsFinance
2009English

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Limit Order Book as a Market for Liquidity

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Optimal Execution in a Limit Order Book and an Associated Microstructure Market Impact Model

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The Information Content of a Limit Order Book: The Case of an FX Market

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