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Tag: jensen-shannon divergence

Market Microstructure

Intraday Limit Order Price Change Transition Dynamics Across Market Capitalizations Through Markov Analysis

Abstract Quantitative understanding of stochastic dynamics in limit order price changes is essential for execution strategy design. We…

Rey

S. Rabindrajit LuwangKundan MukhiaBuddha Nath SharmaDr. Md. NurujjamanDr. Anish RaiDr. Filippo Petroni

Jan 8, 2026

·

1 min read

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