A one-level limit order book model with memory and variable spread (Q2360238): Difference between revisions

@@ Property / cites work @@
+A MATHEMATICAL APPROACH TO ORDER BOOK MODELING
@@ Property / cites work: A MATHEMATICAL APPROACH TO ORDER BOOK MODELING / rank @@
+Normal rank
@@ Property / cites work @@
+Applied Probability and Queues
@@ Property / cites work: Applied Probability and Queues / rank @@
+Normal rank
@@ Property / cites work @@
+Q4109064
@@ Property / cites work: Q4109064 / rank @@
+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 @@
+Q5624436
@@ Property / cites work: Q5624436 / rank @@
+Normal rank
@@ Property / cites work @@
+Limit order books
@@ Property / cites work: Limit order books / rank @@
+Normal rank
@@ Property / cites work @@
+Q3855869
@@ Property / cites work: Q3855869 / rank @@
+Normal rank
@@ Property / cites work @@
+Functional Limit Theorems for a Simple Auction
@@ Property / cites work: Functional Limit Theorems for a Simple Auction / rank @@
+Normal rank
@@ Property / cites work @@
+A steady-state model of the continuous double auction
+Normal rank
@@ Property / cites work @@
+Markov chains and stochastic stability
@@ Property / cites work: Markov chains and stochastic stability / rank @@
+Normal rank
@@ Property / cites work @@
+Markov Chains
@@ Property / cites work: Markov Chains / rank @@
+Normal rank
@@ Property / cites work @@
+An analysis of price impact function in order-driven markets
+Normal rank