This dissertation shows that adverse selection component estimates based on the price-volume model in limit order books and those obtained using popular model-free methods are closely correlated.
首先通过从直观经济含义推导出来的简单模型得到逆向选择成本，并对前文提及的限价指令簿量价关系模型作稳健性分析。
This dissertation shows that adverse selection component estimates based on the price-volume model in limit order books and those obtained using popular model-free methods are closely correlated.
首先通过从直观经济含义推导出来的简单模型得到逆向选择成本，并对前文提及的限价指令簿量价关系模型作稳健性分析。
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