HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS (Q4628410): Difference between revisions

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+A MATHEMATICAL APPROACH TO ORDER BOOK MODELING
@@ Property / cites work: A MATHEMATICAL APPROACH TO ORDER BOOK MODELING / rank @@
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+A functional limit theorem for limit order books with state dependent price dynamics
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+Q5560061
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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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+Q3142396
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+Limit order books
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+A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics
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+A Law of Large Numbers for Limit Order Books
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+A generalized birth–death stochastic model for high-frequency order book dynamics
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+Q4778955
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+Q4223675
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+A multiscale model of high-frequency trading
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+Q2896729
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+Functional Limit Theorems for a Simple Auction
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+Limiting distribution for a simple model of order book dynamics
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+Limit theorems for sequences of jump Markov processes approximating ordinary differential processes
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+Scaling limit of a limit order book model via the regenerative characterization of Lévy trees
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+Stochastic Orderings for Markov Processes on Partially Ordered Spaces
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+Q4435813
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+Fluctuation analysis for the loss from default
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+Stochastic-Process Limits
@@ Property / cites work: Stochastic-Process Limits / rank @@
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+W3121208517
@@ Property / OpenAlex ID: W3121208517 / rank @@
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