A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics (Q4958392): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.03058
@@ Property / arXiv ID: 1904.03058 / rank @@
+Normal rank
@@ Property / cites work @@
+Martingale estimation functions for discretely observed diffusion processes
+Normal rank
@@ Property / cites work @@
+Diffusion-type models with given marginal distribution and autocorrelation function
+Normal rank
@@ Property / cites work @@
+Q4714465
@@ Property / cites work: Q4714465 / rank @@
+Normal rank
@@ Property / cites work @@
+On a Boltzmann-type price formation model
@@ Property / cites work: On a Boltzmann-type price formation model / rank @@
+Normal rank
@@ Property / cites work @@
+On a price formation free boundary model by Lasry and Lions
+Normal rank
@@ Property / cites work @@
+The self-financing equation in limit order book markets
+Normal rank
@@ Property / cites work @@
+Enhancing trading strategies with order book signals
+Normal rank
@@ Property / cites work @@
+A one-level limit order book model with memory and variable spread
+Normal rank
@@ Property / cites work @@
+Global Existence and Uniqueness of Solutions to a Model of Price Formation
+Normal rank
@@ Property / cites work @@
+MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH
+Normal rank
@@ Property / cites work @@
+Price Dynamics in a Markovian Limit Order Market
@@ Property / cites work: Price Dynamics in a Markovian Limit Order Market / rank @@
+Normal rank
@@ Property / cites work @@
+A Stochastic Model for Order Book Dynamics
@@ Property / cites work: A Stochastic Model for Order Book Dynamics / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Equations in Infinite Dimensions
@@ Property / cites work: Stochastic Equations in Infinite Dimensions / rank @@
+Normal rank
@@ Property / cites work @@
+Q5189317
@@ Property / cites work: Q5189317 / rank @@
+Normal rank
@@ Property / cites work @@
+Existence of invariant manifolds for stochastic equations in infinite dimension
+Normal rank
@@ Property / cites work @@
+The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
+Normal rank
@@ Property / cites work @@
+Q3511649
@@ Property / cites work: Q3511649 / rank @@
+Normal rank
@@ Property / cites work @@
+Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models
+Normal rank
@@ Property / cites work @@
+Second order approximations for limit order books
@@ Property / cites work: Second order approximations for limit order books / rank @@
+Normal rank
@@ Property / cites work @@
+Simulating and Analyzing Order Book Data: The Queue-Reactive Model
+Normal rank
@@ Property / cites work @@
+Q2774021
@@ Property / cites work: Q2774021 / rank @@
+Normal rank
@@ Property / cites work @@
+The numéraire portfolio in semimartingale financial models
+Normal rank
@@ Property / cites work @@
+Q4039796
@@ Property / cites work: Q4039796 / rank @@
+Normal rank
@@ Property / cites work @@
+A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies
+Normal rank
@@ Property / cites work @@
+Q4004325
@@ Property / cites work: Q4004325 / rank @@
+Normal rank
@@ Property / cites work @@
+On the Itô--Wentzell formula for distribution-valued processes and related topics
+Normal rank
@@ Property / cites work @@
+Mean field games
@@ Property / cites work: Mean field games / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical inference for reciprocal gamma diffusion process
+Normal rank
@@ Property / cites work @@
+Finite dimensional realizations of stochastic p.d.e.'s and application to filtering
+Normal rank
@@ Property / cites work @@
+A steady-state model of the continuous double auction
+Normal rank
@@ Property / cites work @@
+Parabolic Free Boundary Price Formation Models  Under Market Size Fluctuations
+Normal rank
@@ Property / cites work @@
+Comparison theorems for stochastic evolution equations
+Normal rank
@@ Property / cites work @@
+A stochastic Stefan-type problem under first-order boundary conditions
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+Boundary-Layer Theory
@@ Property / cites work: Boundary-Layer Theory / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical theory of the continuous double auction
+Normal rank
@@ Property / cites work @@
+Q4865590
@@ Property / cites work: Q4865590 / rank @@
+Normal rank