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De Jesus Ladeira de Abreu Clemencia, C.O.I.A. (author)In this project the order book model proposed by Cont et al. [10] is used as a starting point to model order book dynamics. This model nicely combines three desirable properties from earlier studies: it is easy to calibrate, it reproduces statistical properties of the order book and it allows to make analytical computations in the order book....master thesis 2011