Latency arbitrage, market fragmentation, and efficiency: a two-market model.
Elaine WahMichael P. WellmanPublished in: EC (2013)
Keyphrases
- mathematical model
- formal model
- probabilistic model
- objective function
- computational model
- high level
- diffusion model
- experimental data
- statistical model
- theoretical framework
- theoretical analysis
- management system
- cost function
- similarity measure
- data sets
- maximum likelihood
- probability distribution
- computational complexity
- stock price