I thought you may find this paper "The adaptive nature of liquidity in limit order books" useful:
http://arxiv.org/pdf/1403.0842v1.pdf Regards, Ali -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To unsubscribe from this group and stop receiving emails from it, send an email to [email protected]. To post to this group, send email to [email protected]. Visit this group at http://groups.google.com/group/jbooktrader. For more options, visit https://groups.google.com/groups/opt_out.
