A MATHEMATICAL APPROACH TO ORDER BOOK MODELING (Q2853371): Difference between revisions

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+.5136
@@ Property / arXiv ID: 1010.5136 / rank @@
+Normal rank
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+Analyzing and modeling 1+1d markets
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+A Stochastic Model for Order Book Dynamics
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+Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?
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+Zero-intelligence realized variance estimation.
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+Markov Chains and Stochastic Stability
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+Stability of Markovian processes I: criteria for discrete-time Chains
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+Stability of Markovian processes II: continuous-time processes and sampled chains
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+Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes
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+Stochastic-Process Limits
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@@ links / mardi / name / links / mardi / name @@
+Publication:2853371