From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution (Q6158406): Difference between revisions
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Revision as of 10:08, 30 July 2024
scientific article; zbMATH DE number 7698387
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution |
scientific article; zbMATH DE number 7698387 |
Statements
From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution (English)
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20 June 2023
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electronic financial markets
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limit order book (LOB)
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volatility estimation
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