Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes (Q298830): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
Property / cites work
 
Property / cites work: High-frequency trading in a limit order book / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4167332 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Models for non-Gaussian variation, with applications to turbulence / rank
 
Normal rank
Property / cites work
 
Property / cites work: Normal Variance-Mean Mixtures and z Distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Processes of normal inverse Gaussian type / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2716350 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized Poisson Models and their Applications in Insurance and Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4888858 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5560061 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Statistical properties of stock order books: empirical results and models / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Variance Gamma Process and Option Pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modeling high-frequency non-homogeneous order flows by compound Cox processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Stochastic Model for Order Book Dynamics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Price Dynamics in a Markovian Limit Order Market / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hyperbolic distributions in finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2782356 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3149666 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5585847 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4881149 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Doubly stochastic Poisson processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: The decay function of nonhomogeneous birth-death processes, with application to mean-field models / rank
 
Normal rank
Property / cites work
 
Property / cites work: A generalized birth–death stochastic model for high-frequency order book dynamics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4778955 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4845571 / rank
 
Normal rank
Property / cites work
 
Property / cites work: О сходимости распределений случайных сумм независимых случайных величин к устойчивым законам / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Convergence of Distributions of Compound Cox Processes to Stable Laws / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic Properties of Extrema of Compound Cox Processes and Their Applications to Some Problems of Financial Mathematics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3091939 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3091938 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized Hyperbolic Laws as Limit Distributions for Random Sums / rank
 
Normal rank
Property / cites work
 
Property / cites work: On convergence of random walks generated by compound Cox processes to Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4367302 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4937701 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4375492 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4220653 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Upper and lower bounds on the rate of convergence for nonhomogeneous birth and death processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3717907 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The power of patience: a behavioural regularity in limit-order placement / rank
 
Normal rank

Revision as of 04:31, 12 July 2024

scientific article
Language Label Description Also known as
English
Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes
scientific article

    Statements

    Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    21 June 2016
    0 references
    limit order book
    0 references
    price discovery
    0 references
    order flow imbalance
    0 references
    doubly stochastic Poisson processes
    0 references
    Cox processes
    0 references
    two-sided risk process
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers