Semi-Markov Model for Market Microstructure (Q4682482): Difference between revisions

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+.0105
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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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+Ultra high frequency volatility estimation with dependent microstructure noise
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+Modelling microstructure noise with mutually exciting point processes
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+Hawkes model for price and trades high-frequency dynamics
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+Modelling Financial High Frequency Data Using Point Processes
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+Theory of Financial Risk and Derivative Pricing
@@ Property / cites work: Theory of Financial Risk and Derivative Pricing / rank @@
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+Derivatives pricing with marked point processes using tick-by-tick data
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+Modelling Asset Prices for Algorithmic and High-Frequency Trading
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+Buy Low, Sell High: A High Frequency Trading Perspective
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+How Duration Between Trades of Underlying Securities Affects Option Prices*
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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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+An introduction to the theory of point processes
@@ Property / cites work: An introduction to the theory of point processes / rank @@
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+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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+High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model
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+Diffusions with measurement errors. I. Local Asymptotic Normality
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+On Functional Central Limit Theorems for Semi-Markov and Related Processes
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+Semi-Markov processes and reliability
@@ Property / cites work: Semi-Markov processes and reliability / rank @@
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+Q126204148
@@ Property / Wikidata QID: Q126204148 / rank @@
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+Publication:4682482