Journal ArticleOPEN ACCESS

A Stochastic Model for Order Book Dynamics: An Application to Korean Stock Index Futures

  • Lee Y
  • Kim W
Management Science and Financial Engineering (2013) 19(1) 37-41
DOI: 10.7737/msfe.2013.19.1.037
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Abstract

A Stochastic Model for Order Book Dynamics: An Application to Korean Stock Index Futures - Limit Order Book (LOB);KOSPI 200 Futures;Stochastic Modeling;Markov Chain;Financial Engineering;

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APA

Lee, Y., & Kim, W. C. (2013). A Stochastic Model for Order Book Dynamics: An Application to Korean Stock Index Futures. Management Science and Financial Engineering, 19(1), 37–41. https://doi.org/10.7737/msfe.2013.19.1.037

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