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

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-.1016/j.amc.2014.12.085
@@ Property / DOI: 10.1016/j.amc.2014.12.085 / rank @@
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+Alexander I. Zejfman
@@ Property / author: Alexander I. Zejfman / rank @@
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+B30
@@ Property / Mathematics Subject Classification ID: 91B30 / rank @@
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+G51
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+6595865
@@ Property / zbMATH DE Number: 6595865 / rank @@
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@@ Property / zbMATH Keywords @@
+limit order book
@@ Property / zbMATH Keywords: limit order book / rank @@
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@@ Property / zbMATH Keywords @@
+price discovery
@@ Property / zbMATH Keywords: price discovery / rank @@
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@@ Property / zbMATH Keywords @@
+order flow imbalance
@@ Property / zbMATH Keywords: order flow imbalance / rank @@
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@@ Property / zbMATH Keywords @@
+doubly stochastic Poisson processes
@@ Property / zbMATH Keywords: doubly stochastic Poisson processes / rank @@
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+Cox processes
@@ Property / zbMATH Keywords: Cox processes / rank @@
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@@ Property / zbMATH Keywords @@
+two-sided risk process
@@ Property / zbMATH Keywords: two-sided risk process / rank @@
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+W2092315528
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+High-frequency trading in a limit order book
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+.1016/J.AMC.2014.12.085
@@ Property / DOI: 10.1016/J.AMC.2014.12.085 / rank @@
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+Publication:298830