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Regular version of the site

Book chapter

Оценка релаксации финансовых рынков по статистическим данным

С. 82-83.
Андреев Н. А., Лапшин В. А.

Relaxation time is one of the most significant aspects of market liquidity. We study estimates of relaxation time of the limit order market after a shock triggered by sudden movement of price, large trade or news. We also provide formal definition of a shock on order-driven market.

In book

Т. 1. Ч. VII: Управление и прикладная математика. М.; Долгопрудный: МФТИ, 2010.