A one-level limit order book model with memory and variable spread (Q2360238): Difference between revisions

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+A MATHEMATICAL APPROACH TO ORDER BOOK MODELING
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+Applied Probability and Queues
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+Q4109064
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+Price Dynamics in a Markovian Limit Order Market
@@ Property / cites work: Price Dynamics in a Markovian Limit Order Market / rank @@
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+A Stochastic Model for Order Book Dynamics
@@ Property / cites work: A Stochastic Model for Order Book Dynamics / rank @@
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+Q5624436
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+Limit order books
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+Q3855869
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+Functional Limit Theorems for a Simple Auction
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+A steady-state model of the continuous double auction
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+Markov chains and stochastic stability
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+Markov Chains
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+An analysis of price impact function in order-driven markets
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+Publication:2360238