Second order approximations for limit order books (Q1788823): Difference between revisions

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+A MATHEMATICAL APPROACH TO ORDER BOOK MODELING
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+Long-Time Behavior of a Hawkes Process--Based Limit Order Book
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+Optimal execution strategies in limit order books with general shape functions
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+Hawkes model for price and trades high-frequency dynamics
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+A functional limit theorem for limit order books with state dependent price dynamics
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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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+What really causes large price changes?
@@ Property / cites work: What really causes large price changes? / rank @@
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+HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS
@@ Property / cites work: HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS / 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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+A Law of Large Numbers for Limit Order Books
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+Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework
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+Q4778955
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+Limit theorems for nearly unstable Hawkes processes
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+Central limit theorems and diffusion approximations for multiscale Markov chain models
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+A Stefan-type stochastic moving boundary problem
@@ Property / cites work: A Stefan-type stochastic moving boundary problem / rank @@
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+Scaling limit of a limit order book model via the regenerative characterization of Lévy trees
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+Q3747436
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+Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity and Scaling Limit
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