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Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with the stylized facts of lower frequency financial data.
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Delattre, S., Robert, C. Y., and Rosenbaum, M. (2013), “Estimating the efficient price from the order flow: a Brownian Cox process approach,” Stochastic Processes and their Applications
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