Limits of Limit-Order Books (Q6061113): Difference between revisions

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+https://doi.org/10.1007/978-3-031-12244-6_11
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+W4376624889
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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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+Q2919951
@@ Property / cites work: Q2919951 / rank @@
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+A functional limit theorem for limit order books with state dependent price dynamics
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+A Limit Theorem for Financial Markets with Inert Investors
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+A one-level limit order book model with memory and variable spread
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+Empirical properties of asset returns: stylized facts and statistical issues
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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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@@ Property / cites work @@
+A Stochastic Model for Order Book Dynamics
@@ Property / cites work: A Stochastic Model for Order Book Dynamics / rank @@
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+Auctions as algorithms. Computerized trade execution and price discovery
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+A Microeconomic Approach to Diffusion Models For Stock Prices
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+Stock price fluctuation as a diffusion in a random environment
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+HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS
@@ Property / cites work: HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS / rank @@
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@@ Property / cites work @@
+Limit order books
@@ Property / cites work: Limit order books / rank @@
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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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+Second order approximations for limit order books
@@ Property / cites work: Second order approximations for limit order books / rank @@
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+A Law of Large Numbers for Limit Order Books
@@ Property / cites work: A Law of Large Numbers for Limit Order Books / rank @@
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+A Scaling Limit for Limit Order Books Driven by Hawkes Processes
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+Simulating and Analyzing Order Book Data: The Queue-Reactive Model
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+A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies
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+A multiscale model of high-frequency trading
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+Functional Limit Theorems for a Simple Auction
@@ Property / cites work: Functional Limit Theorems for a Simple Auction / rank @@
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+Limiting distribution for a simple model of order book dynamics
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+Scaling limit of a limit order book model via the regenerative characterization of Lévy trees
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+A steady-state model of the continuous double auction
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+Market Behavior in a Clearing House
@@ Property / cites work: Market Behavior in a Clearing House / rank @@
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+Statistical theory of the continuous double auction
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@@ links / mardi / name / links / mardi / name @@
+Publication:6061113