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66MbAbstractThis thesis is the first directly to study the entire limit order book of a large market. Herein, I conduct a population study on the microstructure of the Eurodollar future market, to my knowledge this is a) the first study of its type and b) the largest microstructure study ever conducted. I will build a data drive model that incorporates information from the entire population of quotes updates and transactions on this type of future market.
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