Diffusive behavior and the modeling of characteristic times in limit order executions (Q3645197): Difference between revisions

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+physics/0701335
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+Analyzing and modeling 1+1d markets
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+First passage and arrival time densities for Lévy flights and the failure of the method of images
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+A simple general approach to inference about the tail of a distribution
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+Empirical Analysis of Limit Order Markets
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+Nonparametric Estimation from Incomplete Observations
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+Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices
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+Price fluctuations from the order book perspective - empirical facts and a simple model
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+More statistical properties of order books and price impact
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+Fractal dimensionality of Lévy processes
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+Non-uniqueness of the first passage time density of Lévy random processes
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+Order book approach to price impact
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+Relation between bid–ask spread, impact and volatility in order-driven markets
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