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Publications by Mark Salmon

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

Journal of Financial Markets

English

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Limit Order Book as a Market for Liquidity

SSRN Electronic Journal

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A Dynamic Model of the Limit Order Book

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

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Analyzing an Electronic Limit Order Book

Numerical Analysis

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Price Jump Prediction in a Limit Order Book

Journal of Mathematical Finance

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Order Submission: The Choice Between Limit and Market Orders

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Trading Activity and Liquidity Supply in a Pure Limit Order Book Market. An Empirical Analysis Using a Multivariate Count Data Model

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An Open-Source Limit-Order-Book Exchange for Teaching and Research

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Simulating Trader Manipulation in a Limit-Order Driven Market

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